N-CSR/A 1 y69020anvcsrza.htm AMENDMENT TO N-CSR AMENDMENT TO N-CSR
 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT
COMPANIES

Investment Company Act file number 811-5349

Goldman Sachs Trust

(Exact name of registrant as specified in charter)

4900 Sears Tower, Chicago, Illinois 60606-6303

(Address of principal executive offices) (Zip code)
     
Howard B. Surloff, Esq.   Copies to:
Goldman, Sachs & Co.   Jeffrey A. Dalke, Esq.
One New York Plaza   Drinker Biddle & Reath LLP
New York, New York 10004   One Logan Square
    18th and Cherry Streets
    Philadelphia, PA 19103
(Name and address of agents for service)

Registrant’s telephone number, including area code: (312) 655-4400

Date of fiscal year end: OCTOBER 31

Date of reporting period: OCTOBER 31, 2004

     
ITEM 1.   REPORTS TO STOCKHOLDERS.
     
    The Annual Report to Stockholders is filed herewith.

 

 

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Goldman SachsFundsS P E C I A L F O C U S F I X E D I N C O M E F U N D SAnnual Report            October 31, 2004Current income potential from portfolios that invest in a variety of fixed income securities.

 

 

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Goldman Sachs Special Focus Fixed Income FundsGOLDMAN SACHS GLOBAL INCOME FUNDGOLDMAN SACHS HIGH YIELD FUNDGOLDMAN SACHS EMERGING MARKETS DEBT FUNDNOT FDIC-INSURED May Lose Value No Bank Guarantee

 

 

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G O L D M A N S A C H S S P E C I A L F O C U S F I X E D I N C O M E F U N D SWhat Distinguishes Goldman Sachs’ Fixed Income Investing Process?At Goldman Sachs Asset Management (GSAM), the goal of our fixed income investment process is to provide consistent,strong performance by actively managing our portfolios within a research-intensive, risk-managed framework.A key element of our fixed income investment philosophy is to evaluate the broadest global opportunity set to capture relative value across sectors and instruments. Our globally integrated investment process involves managing dynamically along the risk/return spectrum, as we continue to develop value-added strategies through:1R I G O R O U S S E C U R I T Y S E L E C T I O NAssess relative value among securities and sectorsLeverage the vast resources of Goldman Sachs in selecting securities for each portfolio2P R E C I S E P O R T F O L I O C O N S T R U C T I O NTeam approach to decision makingManage risk by avoiding significant sector and interest rate betsCareful management of yield curve strategies — while closely managing portfolio durationR E S U LTFixed Income portfolios that:Include domestic and global investment options, tax-free income opportunities, and access to areas of specialization such as high yieldCapitalize on GSAM’s industry renowned credit research capabilitiesUse a risk-managed framework to seek total return, recognizing the importance of investors’ capital accumulation goals as well as their need for income1

 

 

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P O R T F O L I O R E S U LT S Global Income FundDear Shareholder,This report provides an overview on the performance of the Goldman Sachs Global Income Fund during the one-yearreporting period that ended October 31, 2004.Performance ReviewOver the one-year period that ended October 31, 2004, the Fund’s Class A, B, C, Institutional, and Service Shares generated cumulative total returns, without sales charges, of 4.01%, 3.47%, 3.40%, 4.66%, and 4.13%, respectively. These returns compare to the 4.85% cumulative total return of the Fund’s benchmark, the J.P. Morgan Global Government Bond Index (hedged), over the same time period.* The Fund posted positive returns during the fiscal year. However, due to fees and expenses associated with the managment of the Fund, it underperformed its unmanaged benchmark on a relative basis. Additional details about the contributors and detractors to performance are listed below.Investment ObjectiveThe Fund seeks a high total return, emphasizing current income, and, to a lesser extent, providing opportunities for capital appreciation.Portfolio CompositionAt the end of the reporting period, the Fund’s largest currency exposure was in the euro, followed by the Japanese yen and U.S. dollar. Portfolio Positioning Prior to April 2004, U.S. Treasury yields drifted lower, reflecting concerns over the strength of the economic recovery given the absence of any significant improvement in the labor market. However, this changed in April following a very strong March 2004 non-farm payrolls number and significant upward revisions to January and February 2004’s new job estimates. Another factor contributing to the Treasury sell-off was Federal Reserve Board (“the Fed”) Chairman Alan Greenspan’s testimony to the Senate in late April. At that time, Mr. Greenspan highlighted diminishing deflation risks. During the month of April, 10-year Treasury yields rose to their highest levels in eight months. Elsewhere, European bonds outperformed other major markets due to sluggish growth, while Japanese bonds underperformed as a result of stronger-than-expected economic data over the majority of the period.The Fund’s overall duration positioning was slightly positive for performance over the period as a whole. Our duration strategy is used to adjust the portfolio’s sensitivity to the overall level of interest rates. All else being equal, if the portfolio’s duration is shortened relative to the benchmark, the expectation would be for out-performance to occur in a rising yield*Unlike the Fund’s total return, the Index’s performance does not reflect any deduction for fees or expenses.2

 

 

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P O R T F O L I O R E S U LT Senvironment. Gains were made through a short duration Japan position held over the entire period and from a short U.S. duration position held throughout most of April 2004. Offsetting these trades were intermittent short U.S. duration positions initiated in February and March 2004, which were negatively affected by the fall in yields over that period. Our country strategy added to performance over the period. This strategy seeks to add performance by holding overweight positions in markets that we believe will outperform and underweight positions in markets that we believe will underperform. In terms of relative country positions, underweight UK/long Europe trades in securities with 10-year and 30-year maturities added substantially to performance, especially during the first quarter of 2004. This was due to better than expected economic activity and interest rate hikes in the UK. At the same time, relatively weaker Euroland economies resulted in a widening of spreads between these regions. We also held an underweight U.S./long Europe position in the later part of the period which performed well as spreads narrowed on the poor European data and the expectation of further monetary tightening in the U.S.An allocation to corporate bonds also enhanced results, particularly in the fourth quarter of 2003. For much of the reporting period, spreads continued to move tighter on the back of improving corporate and economic fundamentals, with higher risk bonds outperforming. The Fund’s bias towards issues with relatively lower credit ratings resulted in additional gains. Following the corporate credit market’s strong performance in 2003, we tactically trimmed the portfolio’s exposure over the first quarter of 2004. This strategy protected the portfolio in April 2004 as credit spreads widened due to heightened risk aversion.The Fund’s currency strategy generated mixed results over the period. While the Fund’s currency positioning aided returns in the first three months of the reporting period, it subsequently detracted from results. This occurred as fears surrounding a sharp economic slowdown in China and speculation surrounding the pace of tightening by the Fed caused the currency markets to trade in a relatively narrow range. As a result, we reduced the levels of currency risk in April 2004 and maintained these levels throughout the end of September. Fund performance was subsequently hurt by the large sell off seen in emerging market currencies and the appreciation of U.S. dollar versus Asian currencies in particular.We thank you for your investment and look forward to your continued confidence.Goldman Sachs Global Fixed Income Investment Management TeamNovember 12, 20043

 

 

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F U N D B A S I C SGlobal Income Fundas of October 31, 2004P E R F O R M A N C E R E V I E W November 1, 2003–Fund Total ReturnJPM Global Govt.30-Day October 31, 2004(based on NAV)1Bond Index2Standardized Yield3 Assets Under Management Class A4.01%4.85%2.16% Class B3.474.851.52 $326.0 MillionClass C 3.404.851.52 Institutional 4.664.852.66 Service 4.134.852.171The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding.The Fund’s performance assumes the reinvestment of dividends and other distributions.The Fund’s N A S D A Q S Y M B O L S performance does not reflect the deduction of any applicable sales charges.2The J.P.Morgan Global Government Bond Index (hedged), an unmanaged index, does not reflect any deduction for fees, expenses or taxes.Class A Shares 3The 30-Day Standardized Yield of the class of the Fund is calculated by dividing the net investment income per share (as defined by securities industry regulations) earned by the class of the Fund over a 30-day period (ending on the stated month-end date) by the maximum public offering price per share of the class of the Fund on the last day of the period.This number is then annualized.ThisGSGIX yield does not necessarily reflect income actually earned and distributed by the class of the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders.Class B SharesS T A N D A R D I Z E D T O T A L R E T U R N S 4For the period ended 9/30/04Class AClass BClass CInstitutionalServiceGSLBXOne Year-2.10%-3.14%0.94%3.13%2.61% Five Years4.094.094.515.715.19 Class C SharesTen Years6.52N/AN/AN/A7.115 Since Inception6.205.514.827.176.655 (8/2/91)(5/1/96) (8/15/97) (8/1/95)(8/2/91) GSLCX4The Standardized Total Returns are average annual total returns as of the most recent calendar quarter-end.They assume reinvestment of all distributions at NAV.These returns reflect a maximum initial sales charge of 4.5% for Class A Shares, the assumed contingent deferred sales charge for Class B Shares (5% maximum declining to 0% after six years), and the assumed Institutional Sharescontingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional and Service Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns.5 Performance data for Service Shares prior to 3/12/97 (commencement of operations) is that of Class A Shares (excluding the impact GSGLXof front-end sales charges applicable to Class A Shares since Service Shares are not subject to any sales charges).Performance of Class A Shares in the Fund reflects the expenses applicable to the Fund’s Class A Shares.The fees applicable to Service Shares are different from those applicable to Class A Shares which impact performance ratings and rankings for a class of shares.Total return figures in the above tables represent past performance and do not indicate future results, which will vary. Service SharesThe investment return and principal value of an investment will fluctuate and, therefore, an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the total return figures in the above tables. Please visit www.gs.com to obtain the most recent month-end returns.Performance reflects GGISXexpense limitations in effect.In their absence, performance would be reduced.Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.C U R R E N C Y A L L O C AT I O N A S O F 1 0 / 3 1 / 0 4 6Currency% of Portfolio Investments Currency% of Portfolio InvestmentsEuro39.8%Australian Dollar 1.5% Japanese Yen22.0South African Rand1.3 U.S. Dollar21.6Danish Kroner1.2 Canadian Dollar3.9Deutsche Mark1.0 Pound Sterling3.7Polish Zloty1.0 Mexican Peso2.3Swedish Krona0.66Figures represent a percentage of long-term market value and, due to rounding, may not sum to 100%.The Fund is actively4 managed and, as such, its composition may differ over time.

 

 

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P O R T F O L I O R E S U LT S High Yield FundDear Shareholder:This report provides an overview on the performance of the Goldman Sachs High Yield Fund during the one-yearreporting period that ended October 31, 2004.Performance Review Over the one-year period that ended October 31, 2004, the Fund’s Class A, B, C, Institutional, and Service Shares generated cumulative total returns, without sales charges, of 12.94%, 12.09%, 12.10%, 13.23%, and 12.81%, respectively. These returns compare to the 12.32% cumulative total return of the Fund’s benchmark, the Lehman Brothers U.S. Corporate High Yield Bond Index, over the same time period.* The outperformance of the Fund’s Class A, Institutional, and Service shares versus its benchmark was, in part, due to its underweight in BB rated securities. In addition, the Fund benefited from an overweight in Chemicals and selective positioning in the Wireline and Utility industries. This was partially offset by an overweight to the Cable sector and Triton PCS, which detracted from results. Class B and C Shares were impacted by the same strategies. However, they did not outperform the benchmark due to higher expenses.Investment ObjectiveThe Fund seeks a high level of current income and may also consider the potential for capital appreciation.High Yield Market The high yield market rallied sharply over the fiscal year as market technicals were positive throughout the period. Strong demand outstripped supply and companies improved their balance sheets by retiring more expensive debt and replacing it with lower-cost securities. The refinancing cycle has been the main driver of supply in the new issue market, with an increasing percentage of transactions coming out of Europe. Earnings results for the past year have been strong across most industries and positive corporate events within the high yield market have helped to keep spread levels tight. Merger and acquisition activity has been a significant contributor to performance in the healthcare, chemical, and gaming sectors. For example, Hudson RCI was bought by Teleflex, Lubrizol completed its acquisition of specialty chemical producer Noveon, and Harrah’s made a bid for Caesars. Companies have started to take advantage of rising corporate valuations with equity offerings and initial public offerings (IPOs). Yellow pages publisher, Dex Media, which was downgraded earlier in the year, announced a $1.5 billion IPO, which we believe strengthened its overall balance sheet. These positive corporate events were partially offset by Lockheed’s failed acquisition of Titan.*Unlike the Fund’s total return, the Index’s performance does not reflect any deduction for fees or expenses.5

 

 

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P O R T F O L I O R E S U LT SThe Utility sector has strengthened recently on the back of a very volatile year as the issues surrounding El Paso were lifted and its management reiterated their year-end debt targets. Announced asset sales by Calpine and Edison International caused the market to reappraise valuations and brought further support to the broader sector. In contrast, the Telecom and Cable sectors have come under pressure with concerns about increased competition weighing on prices. Triton PCS was particularly weak, as the company announced an unfavorable restructuring to its affiliate agreement with AT&T Wireless. On the back of this news and weak operating results, Triton bonds were downgraded to CCC. Portfolio Composition Our portfolio construction strategy continued to be driven by credit fundamentals. The Fund performance was enhanced due to an underweight in the interest rate sensitive BB rated segment. The Fund’s holdings in the Chemical and Utility sectors also contributed to performance, while overweight positions in the Cable and Wireless telecom segments detracted from results. We continue to be very selective when making new purchases. Over the fiscal year, the Fund established new positions in Graham Packaging Co. and Jean Coutu Group PJC, Inc. At the end of the Fund’s fiscal year, its largest industry weights were in chemicals, followed by media/cable and building materials. Portfolio Highlights Graham Packaging Co. — Graham Packaging is a manufacturer of plastic containers. The CCC rated company has financed its recent strategic acquisition of Owens Illinois’ plastic business.Huntsman — Huntsman is a leading manufacturer of specialty and commodity chemicals. In September 2004, the company announced plans to do an IPO and use the proceeds to reduce leverage.Jean Coutu Group PJC, Inc. — Jean Coutu is a major North American drugstore. The company recently doubled its number of units with the acquisition of Eckerd Drugs and is eliminating redundant expenses. We thank you for your investment and look forward to your continued confidence.Goldman Sachs High Yield Investment Management TeamNovember 12, 20046

 

 

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F U N D B A S I C SHigh Yield Fundas of October 31, 2004P E R F O R M A N C E R E V I E WLehman BrothersNovember 1, 2003–Fund Total Return U.S. Corporate HighStandardized Assets Under ManagementOctober 31, 2004(based on NAV)1Yield Bond Index230-Day Yield3Class A12.94%12.32%6.52% $2.1 BillionClass B12.0912.326.08 Class C 12.1012.326.08 Institutional 13.2312.327.23 Service12.8112.326.741The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding.The Fund’s performance assumes the reinvestment of dividends and other distributions.The Fund’sN A S D A Q S Y M B O L S performance does not reflect the deduction of any applicablsales charges.2 The Lehman Brothers U.S.Corporate High Yield Bond Index is a total return performance benchmark for fixed income securities Class A Shareshaving a maximum quality rating of Ba1 (as determined by Moody’s Investors Service), a minimum amount outstanding of $100 million and at least one year to maturity.The Index is unmanaged and does not reflect any deduction for fees, expenses or taxes.3 The Standardized 30-Day Yield of the class of the Fund is calculated by dividing the net investment income per share (as defined by GSHAXsecurities industry regulations) earned by the class of the Fund over a 30-day period (ending on the stated month-end date) by the maximum public offering price per share of the class of the Fund on the last day of the period.This number is then annualized.This yield does not necessarily reflect income actually earned and distributed by the class of the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders.Class B SharesS T A N D A R D I Z E D T O T A L R E T U R N S 4GSHBXFor the period ended 9/30/04Class AClass BClass CInstitutionalServiceOne Year8.17%7.13%11.32%13.67%13.26% Class C SharesFive Years6.266.046.477.667.13 Since Inception5.565.475.516.656.13 (8/1/97)(8/1/97) (8/15/97) (8/1/97)(8/1/97) GSHCX4The Standardized Total Returns are average annual total returns as of the most recent calendar quarter-end.They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 4.5% for Class A Shares, the assumed contingent deferred sales charge for Class B Shares (5% maximum declining to 0% after six years) and the assumed Institutional Sharescontingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional and Service Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns.Total return figures in the above tables represent past performance and do not indicate future results, which will vary. GSHIXThe investment return and principal value of an investment will fluctuate and, therefore, an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the total return figures in the above tables. Please visit www.gs.com to obtain the most recent month-end returns.Performance reflects expense limitations in effect.In their absence, performance would be reduced.Returns do not reflect the deduction of taxes that a Service Sharesshareholder would pay on Fund distributions or the redemption of Fund shares.GSHSXT O P 1 0 H O L D I N G S A S O F 1 0 / 3 1 / 0 4 5CompanyLine of Business% of Net AssetsEl Paso Corp.Pipelines3.4% Huntsman Co.Chemicals1.5 Dex Media, Inc.Publishing1.4 Charter Communications, Inc.Media–Cable1.3 FIMEP/Legrand S.A.Building Materials1.2 Graham Packaging Co., Inc.Packaging1.2 TRW Automotive, Inc.Automotive Parts1.1 Jefferson Smurfit Corp.Paper1.1 Adelphia Communications Corp.Media–Cable1.0 Qwest Communications Int’l, Inc.Telecommunications1.05T he Fund is actively managed and, as such, its composition may differ over time.7

 

 

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F U N D B A S I C SS E C T O R A L L O C AT I O N A S O F 1 0 / 3 1 / 0 4 †Sector% of Portfolio Investments Sector% of Portfolio InvestmentsChemicals 8.9% Retailers 2.1% Media-Cable6.0Consumer Cyclicals2.0 Building Materials5.3Telecommunications1.6 Publishing5.2Metals1.3 Consumer Products5.0Emerging Markets1.2 Electric5.0Entertainment1.1 Automotive Parts4.9Lodging1.1 Healthcare4.7Media–Non Cable0.9 Packaging4.6Environmental0.7 Pipelines4.3Textiles0.7 Technology4.0Media–Broadcast Towers0.6 Food3.9Defense0.4 Telecommunications–Cellular 3.9Finance0.4 Conglomerates3.8Real Estate0.4 Gaming3.7Airlines0.2 Capital Goods3.5Media0.2 Paper3.5Transportation0.2 Aerospace2.3Home Consultation0.1 Energy2.2Media–Broadcasting & Radio 0.1†Figures represent a percentage of long-term market value and, due to rounding, may not sum to 100%.The Fund is actively managed and, as such, its composition may differ over time.8

 

 

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P O R T F O L I O R E S U LT S Emerging Markets Debt Fund Dear Shareholder, This report provides an overview on the performance of the Goldman Sachs Emerging Markets Debt Fund during the one-year reporting period that ended October 31, 2004. Performance Review Over the one-year period that ended October 31, 2004, the Fund’s Class A and Institutional Shares generated cumulative total returns, without sales charges, of 15.78% and 16.22%, respectively. These returns compare to the 12.48% cumulative total return of the Fund’s benchmark, the JP Morgan EMBI Global Diversified Index, over the same time period.* The Fund outperformed its benchmark over the reporting period. The Fund’s overweight exposure to Latin America at various times during the fiscal year contributed substantially to returns, as Latin American debt outperformed other emerging market regions. During the past year, spreads in emerging markets overall tightened 55 basis points and no region or countries contained in the benchmark experienced negative returns. Investment Objective The Fund seeks a high level of total return consisting of income and capital appreciation. Portfolio Composition At the end of the reporting period, we moved back to holding a relatively neutral position in Latin American emerging markets debt relative to the benchmark. The Fund, however, remains well diversified across 24 countries and across all emerging markets regions. We continue to see a favorable external environment and widespread fundamental developments in key credits. Additionally, we anticipate supply to be limited for the remainder of 2004, based on limited financing needs of emerging market countries. We believe strong demand could also contribute to improved technicals in the fourth quarter of 2004. Furthermore, we believe high oil prices should continue to bolster oil exporting countries, which comprise over 40% of the emerging market debt index. Despite these favorable factors, however, we believe valuations remain less compelling and argue for a slight reduction in emerging market debt risk. At the end of the reporting period, the portfolio’s largest country allocations were in Brazil, Russia, and Turkey. *Unlike the Fund’s total return, the Index’s performance does not reflect any deduction for fees or expenses. 9

 

 

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P O R T F O L I O R E S U LT SPortfolio Highlights Over the past year, emerging markets have performed well, driven by a strong global economic recovery combined with positive country-specific events, particularly in Latin America. Asian emerging markets underperformed other emerging markets, as tight valuations held back their performance and the Philippines underperformed due to fiscal problems. Despite these worries, Asian emerging markets returned 7.38%.The Fund’s overweight position in Latin American debt was a primary contributor to excess returns versus the benchmark over the last twelve months. Specifically, the Fund’s overweight exposures to Venezuela, Ecuador, Brazil, and Argentina at various times over the past year were the top contributors to excess return. Conversely, underweight allocations to Mexico and Malaysia detracted from performance.We thank you for your investment and look forward to your continued confidence. Goldman Sachs Global Fixed Income Investment Management TeamNovember 12, 200410

 

 

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F U N D B A S I C SEmerging Markets Debt Fundas of October 31, 2004P E R F O R M A N C E R E V I E WNovember 1, 2003–Fund Total Return JPM EMBI Global30-Day October 31, 2004(based on NAV)1Diversified Index2Standardized Yield3 Assets Under ManagementClass A15.78%12.48%5.13% Institutional 16.2212.485.79 $25.8 Million1The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding.The Fund’s performance assumes the reinvestment of dividends and other distributions.The Fund’s performance does not reflect the deduction of any applicable sales charges.2The J.P.Morgan EMBI Global Diversified Index is an unmanaged index of debt instruments of 31 Emerging Countries.The Index figures do not reflect any deduction for fees, expenses or taxes.3The 30-Day Standardized Yield of the class of the Fund is calculated by dividing the net investment income per share (as defined byN A S D A Q S Y M B O L S securities industry regulations) earned by the class of the Fund over a 30-day period (ending on the stated month-end date) by the maximum public offering price per share of the class of the Fund on the last day of the period.This number is then annualized.This yield does not necessarily reflect income actually earned and distributed by the class of the Fund and, therefore, may not beClass A Shares correlated with the dividends or other distributions paid to shareholders.GSDAXS T A N D A R D I Z E D T O T A L R E T U R N S 4For the period ended 9/30/04Class AInstitutionalInstitutional SharesOne Year9.40%15.10% Since Inception11.1916.50 GSDIX(8/29/03)4The Standardized Total Returns are cumulative total returns as of the most recent calendar quarter-end.They assume reinvestment of all distributions at NAV.These returns reflect a maximum initial sales charge of 4.5% for Class A Shares. Because Institutional Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. Total return figures in the above tables represent past performance and do not indicate future results, which will vary. The investment return and principal value of an investment will fluctuate and, therefore, an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the total return figures in the above tables. Please visit www.gs.com to obtain the most recent month-end returns.Performance reflects expense limitations in effect.In their absence, performance would be reduced.Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.C O U N T R Y A L L O C AT I O N A S O F 1 0 / 3 1 / 0 4 †Country% of Portfolio Investments Country% of Portfolio InvestmentsBrazil13.4%Malaysia3.4% Russia13.4Panama3.2 Turkey7.6Bulgaria2.2 Argentina7.2Nigeria2.1 Venezuela7.1Uruguay1.9 Mexico7.0Indonesia1.8 Peru5.2El Salvador1.4 Colombia4.2Guatemala0.9 Ecuador4.1Kazakhstan0.9 Philippines4.1Dominican Republic0.8 Ukraine3.7Ivory Coast0.7 South Africa3.7Croatia0.2†Figures represent a percentage of long-term market value and, due to rounding, may not sum to 100%.The Fund is actively managed and, as such, its composition may differ over time.11

 

 

 
 GOLDMAN SACHS GLOBAL INCOME FUND

Performance Summary

October 31, 2004

The following graph shows the value, as of October 31, 2004, of a $10,000 investment made on September 1, 1991 in Class A shares (with the maximum sales charge of 4.5%) of the Goldman Sachs Global Income Fund. For comparative purposes, the performance of the Fund’s benchmark, the J.P. Morgan Global Government Bond Index hedged to U.S. Dollars (the “JP Morgan GGB Index — $ Hedged”), is shown. This performance data represents past performance and should not be considered indicative of future performance which will fluctuate with changes in market conditions. These performance fluctuations will cause an investor’s shares, when redeemed, to be worth more or less than their original cost. Performance reflects expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemptions of Fund shares. Performance of Class B, Class C, Institutional and Service shares will vary from Class A shares due to differences in fees and loads. In addition to the investment adviser’s decisions regarding issuer/industry/country investment selection and allocation, other factors may affect portfolio performance. These factors include, but are not limited to, portfolio operating fees and expenses, portfolio turnover, and subscription and redemption cash flows affecting the portfolio.

Global Income Fund’s Lifetime Performance

Performance of a $10,000 Investment, Distributions Reinvested September 1, 1991 to October 31, 2004.(a)

(PERFORMANCE GRAPH)

                                     
Average Annual Total Return through October 31, 2004 Since Inception Ten Years Five Years One Year
Class A (commenced August 2, 1991)
                                    
Excluding sales charges
    6.59%       7.09%       5.19%       4.01%      
Including sales charges
    6.22%       6.61%       4.23%       -0.68%      
Class B (commenced May 1, 1996)
                                    
Excluding contingent deferred sales charges
    5.55%       n/a       4.67%       3.47%      
Including contingent deferred sales charges
    5.55%       n/a       4.25%       -1.70%      
Class C (commenced August 15, 1997)
                                    
Excluding contingent deferred sales charges
    4.85%       n/a       4.66%       3.40%      
Including contingent deferred sales charges
    4.85%       n/a       4.66%       2.37%      
Institutional Class (commenced August 1, 1995)
     7.20%       n/a       5.86%       4.66%      
Service Class (commenced March 12, 1997)
     5.65%       n/a       5.34%       4.13%      
(a)  For comparative purposes, initial investments are assumed to be made on the first day of the month following commencement of operations.
 
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GOLDMAN SACHS GLOBAL INCOME FUND 

Statement of Investments

October 31, 2004
                                 
Principal Interest Maturity
Amount* Rate Date Value
   
Foreign Sovereign Debt Obligations – 68.1%
    Australian Dollar – 1.5%
    Government of Australia
      AUD 6,340,000       7.50 %     07/15/2005     $ 4,811,727  
   
    Canadian Dollar – 3.9%
    Government of Canada
      CAD 3,600,000       6.00 %     06/01/2008     $ 3,181,175  
      1,150,000       5.25       06/01/2013       998,709  
      7,030,000       5.00       06/01/2014       5,991,314  
      2,600,000       5.75       06/01/2029       2,364,992  
                             
 
                            $ 12,536,190  
   
    Danish Krone – 1.2%
    Kingdom of Denmark
      DKK20,000,000       6.00 %     11/15/2009     $ 3,855,750  
   
    Euro Currency – 32.2%
    Federal Republic of Germany
      EUR16,100,000       5.25 %     01/04/2008     $ 22,061,296  
      2,740,000       3.00       04/11/2008       3,512,124  
      15,000,000       4.50       01/04/2013       20,165,099  
      1,900,000       3.75       07/04/2013       2,410,924  
      6,000,000       5.50       01/04/2031       8,756,466  
    Government of France
      2,711,037       3.00       07/25/2009       3,779,168  
      1,000,000       5.50       04/25/2010       1,415,095  
      10,000,000       5.00       04/25/2012       13,876,398  
      400,000       8.50       10/25/2019       752,253  
      1,500,000       8.50       04/25/2023       2,916,372  
      700,000       5.50       04/25/2029       1,020,026  
    Kingdom of Spain
      3,000,000       6.00       01/31/2008       4,197,768  
      1,200,000       4.20       07/30/2013       1,575,161  
    Kingdom of The Netherlands
      2,850,000       3.75       07/15/2009       3,729,215  
      1,800,000       4.25       07/15/2013       2,368,650  
    Republic of Italy
      2,000,000       5.25       08/01/2017       2,816,088  
      3,500,000       6.50       11/01/2027       5,634,632  
      2,700,000       6.00       05/01/2031       4,121,842  
                             
 
                            $ 105,108,577  
   
    Great Britain Pound – 3.3%
    United Kingdom Treasury
      GBP 2,000,000       8.50 %     07/16/2007     $ 4,032,021  
      1,200,000       7.25       12/07/2007       2,367,294  
      40,000       8.00       09/27/2013       90,597  
      480,000       5.00       09/07/2014       898,660  
      1,300,000       8.75       08/25/2017       3,294,215  
      1       4.25       06/07/2032       2  
                             
 
                            $ 10,682,789  
   
    Japanese Yen – 19.6%
    Government of Japan
      JPY35,000,000       0.50 %     06/20/2006     $ 332,404  
      2,100,000,000       0.90       12/22/2008       20,163,744  
      1,105,000,000       1.30       06/20/2012       10,535,511  
      1,290,000,000       1.80       06/20/2014       12,546,862  
      950,000,000       1.60       09/20/2014       9,054,471  
      30,000,000       1.50       03/20/2019       272,538  
      690,000,000       1.90       03/20/2024       6,314,210  
    Japan Development Bank
      500,000,000       1.60       06/20/2014       4,737,007  
                             
 
                            $ 63,956,747  
   
    Mexican Peso – 2.2%
    United Mexican States
      MXN93,000,000       8.00 %     12/19/2013     $ 7,289,600  
   
    Polish Zloty – 1.0%
    Republic of Poland
      PLN11,400,000       6.00 %     05/24/2009     $ 3,223,460  
   
    South African Rand – 1.2%
    Republic of South Africa
      ZAR20,500,000       13.00 %     08/31/2010     $ 4,009,309  
   
    Swedish Krona – 0.6%
    Kingdom of Sweden
      SEK11,000,000       6.75 %     05/05/2014     $ 1,853,039  
   
    United States Dollar – 1.4%
    Republic of Italy
      USD 2,600,000       4.38 %     10/25/2006     $ 2,671,939  
    Russian Federation #
      1,100,000       5.00       03/31/2030       1,101,375  
    United Mexican States
      800,000       7.50       04/08/2033       852,800  
                             
 
                            $ 4,626,114  
   
    TOTAL FOREIGN SOVEREIGN DEBT OBLIGATIONS
    (Cost $205,428,928)   $ 221,953,302  
   
   
Corporate Bonds – 18.6%
    Banks – 5.7%
    Banca Popolare di Bergamo Capital Trust #±
      EUR 1,090,000       8.36 %     02/15/2011     $ 1,679,249  
    Bank of America Corp.
      USD 200,000       6.38       05/15/2005       204,191  
      200,000       7.88       05/16/2005       205,853  
      150,000       7.25       10/15/2025       177,361  
    BCI US Funding Trust II #±
      EUR 870,000       3.75       07/15/2008       1,131,257  
                                 
   
 
The accompanying notes are an integral part of these financial statements.

13

 

 
 GOLDMAN SACHS GLOBAL INCOME FUND
 
Statement of Investments (continued)
October 31, 2004
                                 
Principal Interest Maturity
Amount* Rate Date Value
   
Corporate Bonds – (continued)
    Banks – (continued)
    Citicorp
      USD 100,000       7.20 %     06/15/2007     $ 109,999  
      DEM 4,500,000       6.25       09/19/2009       3,258,686  
    Citigroup, Inc.
      USD 1,250,000       6.75       12/01/2005       1,306,109  
    Credit Suisse First Boston London #±†
      1,330,000       7.90       05/01/2007       1,466,612  
    EGG Banking PLC
      GBP 530,000       6.88       12/29/2021       1,026,507  
    HBOS PLC #±
      EUR 1,220,000       6.05       11/23/2011       1,730,533  
    Merita Bank Ltd.
      USD 1,010,000       6.50       04/01/2009       1,119,000  
    MIZUHO Financial Group (Cayman) †
      1,170,000       5.79       04/15/2014       1,217,442  
    National Westminster Bank PLC #
      370,000       7.75       04/29/2049       411,329  
    Santander Financial Issuances
      1,100,000       7.88       04/15/2005       1,127,339  
    Washington Mutual Finance Corp.
      2,020,000       8.25       06/15/2005       2,092,189  
    Wells Fargo Bank NA #
      230,000       7.80       06/15/2010       237,127  
                             
 
                            $ 18,500,783  
   
    Capital Goods – 0.9%
    Bombardier, Inc. †
      USD 250,000       6.30 %     05/01/2014     $ 224,245  
      360,000       7.45       05/01/2034       315,531  
    Tyco International Group SA
      EUR 1,870,000       6.13       04/04/2007       2,553,607  
                             
 
                            $ 3,093,383  
   
    Consumer Cyclicals – 0.2%
    General Motors Acceptance Corp.
      EUR 450,000       7.00 %     11/15/2005     $ 594,431  
   
    Consumer Noncyclical – 1.4%
    British American Tobacco Holdings BV #
      EUR 1,040,000       3.04 %     07/21/2005     $ 1,332,049  
    Gallaher Group PLC
      1,160,000       4.88       01/28/2005       1,486,632  
    Imperial Tobacco Finance PLC
      250,000       6.25       06/06/2007       343,135  
    Imperial Tobacco Overseas BV
      USD 1,410,000       7.13       04/01/2009       1,562,618  
                             
 
                            $ 4,724,434  
   
    Electric – 1.6%
    CenterPoint Energy Resources Corp.
      USD 1,180,000       7.88 %     04/01/2013     $ 1,410,637  
    FirstEnergy Corp.
      170,000       5.50       11/15/2006       176,890  
      750,000       7.38       11/15/2031       854,557  
    NGG Finance PLC
      EUR 1,520,000       5.25       08/23/2006       2,021,445  
    Western Power Distribution Holding †
      USD 680,000       6.75       12/15/2004       682,285  
                             
 
                            $ 5,145,814  
   
    Financial Companies – 2.2%
    Household Finance Corp.
      EUR 940,000       6.25 %     09/21/2005     $ 1,237,910  
    KFW International Finance, Inc.
      JPY600,000,000       2.05       09/21/2009       6,053,028  
                             
 
                            $ 7,290,938  
   
    Insurance – 1.3%
    ACE INA Holdings, Inc.
      USD 390,000       5.88 %     06/15/2014     $ 407,380  
    CNA Financial Corp.
      430,000       6.50       04/15/2005       436,398  
      420,000       6.60       12/15/2008       451,872  
    Endurance Specialty Holdings Ltd.
      480,000       7.00       07/15/2034       488,329  
    Prudential Insurance Co. of America
      1,900,000       6.38       07/23/2006       2,003,630  
    SL Finance PLC #
      EUR 290,000       6.38       07/12/2022       412,280  
                             
 
                            $ 4,199,889  
   
    Natural Gas – 0.1%
    Enterprise Products Operating LP †
      USD 210,000       4.63 %     10/15/2009     $ 212,164  
   
    REIT – 0.5%
    EOP Operating LP
      USD 1,730,000       6.63 %     02/15/2005     $ 1,750,099  
   
 
The accompanying notes are an integral part of these financial statements.

14

 

 
GOLDMAN SACHS GLOBAL INCOME FUND 
                                 
Principal Interest Maturity
Amount* Rate Date Value
   
Corporate Bonds – (continued)
    Telecommunications – 4.7%
    AT&T Corp. #
      EUR 770,000       6.00 %     11/21/2006     $ 1,063,668  
    Bell Atlantic New Jersey, Inc.
      USD 65,000       8.00       06/01/2022       77,845  
    British Telecommunications PLC #
      EUR 650,000       7.13       02/15/2011       972,742  
    Clear Channel Communications, Inc.
      USD 900,000       8.00       11/01/2008       1,019,160  
    Comcast Cable Communications
      1,900,000       8.38       05/01/2007       2,125,091  
    Comcast Cable Communications Holdings, Inc.
      360,000       9.46       11/15/2022       492,378  
    Deutsche Telekom International Finance BV #
      230,000       8.25       06/15/2030       303,254  
      360,000       9.25       06/01/2032       514,536  
    France Telecom SA
      EUR 770,000       7.00       12/23/2009       1,128,639  
      390,000       8.13       01/28/2033       670,884  
    Olivetti Finance NV
      2,270,000       6.13       07/30/2009       3,207,607  
    Sprint Capital Corp.
      USD 1,260,000       4.78       08/17/2006       1,295,270  
    Telefonos de Mexico SA de CV (Telmex) †
      860,000       4.50       11/19/2008       869,417  
    Verizon Global Funding Corp.
      1,380,000       6.13       06/15/2007       1,479,169  
                             
 
                            $ 15,219,660  
   
    TOTAL CORPORATE BONDS
    (Cost $56,104,223)   $ 60,731,595  
   
   
Mortgage-Backed Obligations – 1.1%
    Home Equity – 1.1%
    Sequoia Mortgage Trust Series 2004-10, Class A3A #
      USD 3,760,000       2.57 %     11/20/2034     $ 3,760,000  
   
    TOTAL MORTGAGE-BACKED OBLIGATIONS
    (Cost $3,760,000)   $ 3,760,000  
   
   
U.S. Treasury Obligations – 9.7%
    United States Treasury Principal-Only Stripped Securities•
      USD 1,520,000       0.00 %     11/15/2009     $ 1,276,861  
      1,000,000       0.00       11/15/2022       404,290  
      2,070,000       0.00       11/15/2024       750,437  
      2,400,000       0.00       08/15/2025       835,992  
      1,500,000       0.00       08/15/2026       494,505  
    United States Treasury Bonds
      4,650,000       8.88       08/15/2017       6,683,259  
      700,000       8.13       08/15/2019       966,945  
    United States Treasury Notes
      15,130,000       2.63       05/15/2008       14,961,452  
      3,000,000       6.50       02/15/2010       3,451,758  
      1,700,000       3.88       02/15/2013       1,700,697  
   
    TOTAL U.S. TREASURY OBLIGATIONS
    (Cost $30,543,838)   $ 31,526,196  
   
                             
Contracts* Exercise Expiration
Rate Date Value
   
Options Purchased – 0.1%
    Cross Currency Option
Call EUR 6,424,200
Put USD 4,980,000 		    1.29       11/10/2004     $ 20,252  
    Cross Currency Option
Call EUR 6,200,100
Put USD 4,980,000 		    1.245       11/10/2004       149,475  
    Cross Currency Option
Call MXN 26,343,500
Put USD 2,350,000 		    11.21       01/19/2005       7,179  
   
    TOTAL OPTIONS PURCHASED
    (Cost $112,729)                   $ 176,906  
   
                                 
Principal Interest Maturity
Amount* Rate Date Value
   
Short-Term Obligations – 0.4%
    State Street Bank & Trust Euro – Time Deposit
      USD 1,384,000       1.69 %     11/01/2004     $ 1,384,000  
   
    TOTAL SHORT-TERM OBLIGATIONS
    (Cost $1,384,000)   $ 1,384,000  
   
    TOTAL INVESTMENTS – 98.0%
    (Cost $297,333,718)   $ 319,531,999  
   
 
The accompanying notes are an integral part of these financial statements.

15

 

 
 GOLDMAN SACHS GLOBAL INCOME FUND
 
Statement of Investments (continued)
October 31, 2004

  The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.

 
 * The principal amount of each security or contract is stated in the currency in which the bond/option is denominated. See below.
             
    AUD   =   Australian Dollar
    CAD   =   Canadian Dollar
    DKK   =   Danish Krone
    DEM   =   German Mark
    EUR   =   Euro Currency
    GBP   =   Great Britain Pound
    JPY   =   Japanese Yen
    MXN   =   Mexican Peso
    PLN   =   Polish Zloty
    SEK   =   Swedish Krona
    USD   =   United States Dollar
    ZAR   =   South African Rand
 
 † Securities are exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the Investment Adviser and may be resold, normally to qualified institutional buyers, in transactions exempt from registration. Total market value of Rule 144A securities amounted to $4,987,696, which represents approximately 1.5% of net assets as of October 31, 2004.
 
 # Variable rate security. Interest rate disclosed is that which is in effect at October 31, 2004.
 
 ± Perpetual Maturity. Maturity date presented represents the next call date.
 
 • Security issued with a zero coupon. Income is recognized through the accretion of discount.
             
   
    Investment Abbreviation:
    REIT   —   Real Estate Investment Trust
   
 
The accompanying notes are an integral part of these financial statements.

16

 

 
GOLDMAN SACHS GLOBAL INCOME FUND 

ADDITIONAL INVESTMENT INFORMATION

WRITTEN OPTIONS — At October 31, 2004, the Fund had the following written options activity:

                 
Number of
Contracts Value
Contracts Outstanding October 31, 2003
    —     $ —  
Contracts written
    8,426       48,363  
Contracts expired
    (3,446 )     (21,495 )
Contracts Outstanding October 31, 2004
    4,980     $ 26,868  

At October 31, 2004, written options were open as follows:

                     
Exercise Expiration
Contracts Rate Date Value
Cross Currency Option
Call EUR 6,424,200
Put USD 4,980,000 		    1.29     11/10/2004   $ (20,252 )
TOTAL (Premium received $26,868)
               $ (20,252 )

EUR — Euro Currency

USD — United States Dollar

FUTURES CONTRACTS — At October 31, 2004, futures contracts were open as follows:

                                 
Number of Contracts Unrealized
Type Long (Short) Settlement Month Market Value Gain (Loss)
Eurodollar
    326       March 2005     $ 79,438,050     $ 232,438  
Eurodollar
    (326 )     March 2006       (78,843,100 )     (652,163 )
Euro-Bobl
    3       December 2004       428,668       6,602  
Euro-Bund
    46       December 2004       6,842,662       (18,139 )
Euro-Schatz
    142       December 2004       19,192,054       107,476  
10 Year Australian Bonds
    (46 )     December 2004       (25,510,704 )     (14,245 )
10 Year Japanese Bonds
    (9 )     December 2004       (11,708,726 )     (13,561 )
2 Year U.S. Treasury Notes
    (49 )     December 2004       (10,376,516 )     (15,312 )
5 Year U.S. Treasury Notes
    (20 )     December 2004       (2,227,500 )     (625 )
10 Year U.S. Treasury Notes
    (198 )     December 2004       (22,485,375 )     (241,516 )
30 Year U.S. Treasury Bonds
    56       December 2004       6,375,250       23,734  
                    $ (38,875,237 )   $ (585,311 )
 
The accompanying notes are an integral part of these financial statements.

17

 

 
 GOLDMAN SACHS GLOBAL INCOME FUND

Statement of Investments (continued)

October 31, 2004

ADDITIONAL INVESTMENT INFORMATION (continued)

FOREIGN CURRENCY CONTRACTS — At October 31, 2004, the Fund had outstanding forward foreign currency exchange contracts, both to purchase and sell foreign currencies as follows:

                                   
Unrealized
Open Forward Foreign Currency Value on
Purchase Contracts Settlement Date Current Value Gain Loss
Australian Dollar
                               
 
expiring 12/15/2004
  $ 3,042,000     $ 3,254,551     $ 212,551     $ —  
Canadian Dollar
                               
 
expiring 12/15/2004
    9,140,000       9,553,572       413,572       —  
Chilean Peso
                               
 
expiring 12/3/2004
    816,000       817,250       1,250       —  
 
expiring 12/6/2004
    404,465       399,850       —       4,615  
 
expiring 12/10/2004
    370,000       373,076       3,076       —  
Euro
                               
 
expiring 11/12/2004
    2,468,494       2,514,446       45,952       —  
 
expiring 11/12/2004
    2,556,704       2,546,700       —       10,004  
 
expiring 11/30/2004
    7,114,412       7,109,838       —       4,574  
 
expiring 12/15/2004
    19,077,597       19,658,692       581,095       —  
 
expiring 12/15/2004
    1,020,811       1,019,748       —       1,063  
Great Britain Pound
                               
 
expiring 11/19/2004
    4,783,122       4,929,252       146,130       —  
 
expiring 12/15/2004
    15,813,840       16,276,491       462,651       —  
Hungarian Forint
                               
 
expiring 12/15/2004
    682,920       698,200       15,280       —  
Israeli Shekel
                               
 
expiring 12/15/2004
    566,249       574,746       8,497       —  
Japanese Yen
                               
 
expiring 12/15/2004
    17,711,411       18,253,072       541,661       —  
 
expiring 12/15/2004
    408,036       407,440       —       596  
Mexican Peso
                               
 
expiring 12/15/2004
    3,525,070       3,478,022       —       47,048  
 
expiring 12/15/2004
    1,058,943       1,069,778       10,835       —  
Norwegian Krone
                               
 
expiring 12/15/2004
    6,111,343       6,514,755       403,412       —  
Polish Zloty
                               
 
expiring 12/15/2004
    1,950,313       2,104,451       154,138       —  
Russian Ruble
                               
 
expiring 11/10/2004
    591,886       606,126       14,240       —  
 
expiring 11/15/2004
    226,640       232,085       5,445       —  
 
expiring 11/18/2004
    302,171       309,549       7,378       —  
 
expiring 11/26/2004
    329,236       337,771       8,535       —  
 
expiring 12/10/2004
    295,943       304,504       8,561       —  
 
expiring 12/14/2004
    421,592       432,982       11,390       —  
 
expiring 12/15/2004
    452,758       457,528       4,770       —  
 
The accompanying notes are an integral part of these financial statements.

18

 

 
GOLDMAN SACHS GLOBAL INCOME FUND 
 
 
ADDITIONAL INVESTMENT INFORMATION (continued)
                                   
Unrealized
Open Forward Foreign Currency Value on
Purchase Contracts Settlement Date Current Value Gain Loss
Russian Ruble (continued)
                               
 
expiring 12/17/2004
  $ 771,242     $ 779,410     $ 8,168     $ —  
 
expiring 1/12/2005
    622,405       630,525       8,120       —  
 
expiring 1/13/2005
    737,064       747,196       10,132       —  
 
expiring 1/19/2005
    167,531       169,845       2,314       —  
 
expiring 2/10/2005
    295,943       306,938       10,995       —  
 
expiring 2/14/2005
    569,157       577,554       8,397       —  
Singapore Dollar
                               
 
expiring 12/15/2004
    19,259,564       19,579,107       319,543       —  
South African Rand
                               
 
expiring 12/15/2004
    741,000       769,460       28,460       —  
South Korean Won
                               
 
expiring 11/8/2004
    1,059,388       1,077,667       18,279       —  
 
expiring 11/16/2004
    452,000       463,104       11,104       —  
 
expiring 11/19/2004
    814,166       835,318       21,152       —  
 
expiring 11/30/2004
    408,750       411,700       2,950       —  
 
expiring 12/1/2004
    392,000       393,483       1,483       —  
 
expiring 1/31/2005
    408,750       411,656       2,906       —  
Swedish Krona
                               
 
expiring 12/15/2004
    9,135,000       9,482,564       347,564       —  
Swiss Franc
                               
 
expiring 12/15/2004
    5,392,245       5,665,332       273,087       —  
Taiwan Dollar
                               
 
expiring 11/4/2004
    810,885       824,641       13,756       —  
 
expiring 11/16/2004
    1,061,568       1,074,034       12,466       —  
 
expiring 12/6/2004
    816,524       828,173       11,649       —  
 
expiring 1/25/2005
    816,864       824,666       7,802       —  
 
expiring 1/31/2005
    817,000       819,992       2,992       —  
 
expiring 2/1/2005
    816,864       824,702       7,838       —  
Thailand Baht
                               
 
expiring 11/8/2004
    406,000       411,234       5,234       —  
 
expiring 1/20/2005
    408,397       407,120       —       1,277  
 
expiring 2/1/2005
    816,795       814,817       —       1,978  
Yuan Renminbi
                               
 
expiring 4/19/2005
    688,955       674,468       —       14,487  
TOTAL OPEN FORWARD FOREIGN CURRENCY
PURCHASE CONTRACTS
   $ 149,928,013     $ 154,039,181     $ 4,196,810     $ 85,642  
 
The accompanying notes are an integral part of these financial statements.

19

 

 
 GOLDMAN SACHS GLOBAL INCOME FUND
 
Statement of Investments (continued)
October 31, 2004
 
 
ADDITIONAL INVESTMENT INFORMATION (continued)
                                   
Unrealized
Open Forward Foreign Currency Value on
Sale Contracts Settlement Date Current Value Gain Loss
Australian Dollar
                               
 
expiring 11/29/2004
  $ 4,688,661     $ 4,884,492     $ —     $ 195,831  
 
expiring 12/15/2004
    3,034,000       3,297,026       —       263,026  
Canadian Dollar
                               
 
expiring 12/15/2004
    21,716,077       22,910,515       —       1,194,438  
Chilean Peso
                               
 
expiring 12/6/2004
    407,000       409,494       —       2,494  
Danish Krone
                               
 
expiring 11/30/2004
    3,905,126       4,061,298       —       156,172  
Euro
                               
 
expiring 11/1/2004
    793,348       793,326       22       —  
 
expiring 11/12/2004
    2,557,059       2,546,827       10,232       —  
 
expiring 11/12/2004
    2,465,200       2,514,447       —       49,247  
 
expiring 11/30/2004
    141,452,768       140,886,235       566,533       —  
 
expiring 12/15/2004
    11,082,640       11,519,335       —       436,695  
Great Britain Pound
                               
 
expiring 11/19/2004
    16,406,296       16,866,201       —       459,905  
 
expiring 12/15/2004
    18,884,166       19,444,882       —       560,716  
Israeli Shekel
                               
 
expiring 12/15/2004
    1,771,879       1,783,951       —       12,072  
Japanese Yen
                               
 
expiring 11/26/2004
    68,975,760       69,322,834       —       347,074  
 
expiring 12/15/2004
    9,939,590       10,362,373       —       422,783  
Mexican Peso
                               
 
expiring 11/18/2004
    7,508,212       7,393,487       114,725       —  
 
expiring 12/15/2004
    1,779,248       1,760,444       18,804       —  
 
expiring 12/15/2004
    1,742,606       1,748,731       —       6,125  
Norwegian Krone
                               
 
expiring 12/15/2004
    3,034,000       3,237,798       —       203,798  
Polish Zloty
                               
 
expiring 12/15/2004
    3,031,910       3,166,339       —       134,429  
 
expiring 12/22/2004
    3,270,297       3,289,823       —       19,526  
Singapore Dollar
                               
 
expiring 12/15/2004
    9,694,003       9,891,276       —       197,273  
South African Rand
                               
 
expiring 12/15/2004
    1,346,288       1,428,766       —       82,478  
 
expiring 1/25/2005
    3,944,326       4,034,374       —       90,048  
South Korean Won
                               
 
expiring 11/8/2004
    746,913       767,870       —       20,957  
 
expiring 11/16/2004
    458,000       470,721       —       12,721  
 
expiring 11/19/2004
    1,800,699       1,863,541       —       62,842  
 
The accompanying notes are an integral part of these financial statements.

20

 

 
GOLDMAN SACHS GLOBAL INCOME FUND 
 
 
ADDITIONAL INVESTMENT INFORMATION (continued)
                                   
Unrealized
Open Forward Foreign Currency Value on
Sale Contracts Settlement Date Current Value Gain Loss
Swedish Krona
                               
 
expiring 12/10/2004
  $ 1,523,447     $ 1,602,395     $ —     $ 78,948  
 
expiring 12/15/2004
    3,060,431       3,227,561       —       167,130  
Swiss Franc
                               
 
expiring 12/15/2004
    15,259,559       15,962,828       —       703,269  
Taiwan Dollar
                               
 
expiring 11/4/2004
    815,000       831,874       —       16,874  
Thailand Baht
                               
 
expiring 11/8/2004
    221,012       220,926       86       —  
 
expiring 11/8/2004
    188,521       190,308       —       1,787  
Yuan Renminbi
                               
 
expiring 4/19/2005
    130,151       129,786       365       —  
 
expiring 4/19/2005
    543,697       544,681       —       984  
TOTAL OPEN FORWARD FOREIGN CURRENCY
SALE CONTRACTS
   $ 368,177,890     $ 373,366,765     $ 710,767     $ 5,899,642  
 
The accompanying notes are an integral part of these financial statements.

21

 

 
 GOLDMAN SACHS GLOBAL INCOME FUND
 
Statement of Investments (continued)
October 31, 2004
 
 
ADDITIONAL INVESTMENT INFORMATION (continued)
                                   
Unrealized
Open Forward Foreign Currency Purchase Sale
Cross Contracts (Purchase/Sale) Current Value Current Value Gain Loss
Australian Dollar/ Canadian Dollar
                               
 
expiring 12/15/2004
  $ 761,718     $ 791,308     $ 29,590     $ —  
 
expiring 12/15/2004
    788,782       761,718       —       27,064  
Australian Dollar/ New Zealand Dollar
                               
 
expiring 12/15/2004
    769,874       821,056       51,182       —  
 
expiring 12/15/2004
    806,165       769,874       —       36,291  
Czech Koruna/ Euro Currency
                               
 
expiring 12/15/2004
    2,480,690       2,608,544       127,854       —  
 
expiring 12/15/2004
    2,595,472       2,480,690       —       114,782  
Euro Currency/ Hungarian Forint
                               
 
expiring 12/15/2004
    1,378,227       1,438,811       60,584       —  
 
expiring 12/15/2004
    1,457,134       1,378,227       —       78,907  
Euro Currency/ Japanese Yen
                               
 
expiring 12/15/2004
    6,568,730       6,819,565       250,835       —  
 
expiring 12/15/2004
    6,789,265       6,568,730       —       220,535  
Euro Currency/ Polish Zloty
                               
 
expiring 12/15/2004
    2,135,219       2,201,981       66,762       —  
 
expiring 12/15/2004
    2,206,323       2,135,219       —       71,104  
Euro Currency/ Swiss Franc
                               
 
expiring 12/15/2004
    3,092,545       3,242,799       150,254       —  
 
expiring 12/15/2004
    3,259,522       3,092,545       —       166,977  
Hungarian Forint/ Euro Currency
                               
 
expiring 12/15/2004
    350,128       360,095       9,967       —  
 
expiring 12/15/2004
    355,637       350,128       —       5,509  
Japanese Yen/ Euro Currency
                               
 
expiring 12/15/2004
    5,613,559       5,839,580       226,021       —  
 
expiring 12/15/2004
    5,887,414       5,613,559       —       273,855  
Polish Zloty/ Euro Currency
                               
 
expiring 12/15/2004
    4,858,112       5,114,789       256,677       —  
 
expiring 12/15/2004
    5,006,985       4,858,112       —       148,873  
Slovakian Koruna/ Euro Currency
                               
 
expiring 12/15/2004
    1,505,019       1,568,727       63,708       —  
 
expiring 12/15/2004
    1,560,980       1,505,019       —       55,961  
Swiss Franc/ Euro Currency
                               
 
expiring 12/15/2004
    757,527       799,942       42,415       —  
 
expiring 12/15/2004
    794,129       757,527       —       36,602  
TOTAL OPEN FORWARD FOREIGN CURRENCY CROSS CONTRACTS (PURCHASE/ SALE)
   $ 61,779,156     $ 61,878,545     $ 1,335,849     $ 1,236,460  
 
The accompanying notes are an integral part of these financial statements.

22

 

 
GOLDMAN SACHS HIGH YIELD FUND 

Performance Summary

October 31, 2004

The following graph shows the value, as of October 31, 2004, of a $10,000 investment made on August 1, 1997 (commencement of operations) in Class A Shares (with the maximum sales charge of 4.5%) of the Goldman Sachs High Yield Fund. For comparative purposes, the performance of the Fund’s benchmark, the Lehman Brothers U.S. Corporate High Yield Bond Index, is shown. This performance data represents past performance and should not be considered indicative of future performance which will fluctuate with changes in market conditions. These performance fluctuations will cause an investor’s shares, when redeemed, to be worth more or less than their original cost. Performance reflects expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance of Class B, Class C, Institutional and Service Shares will vary from Class A Shares due to differences in fees and loads. In addition to the investment adviser’s decisions regarding issuer/industry/country investment selection and allocation, other factors may affect portfolio performance. These factors include, but are not limited to, portfolio operating fees and expenses, portfolio turnover, and subscription and redemption cash flows affecting a portfolio.

High Yield Fund’s Lifetime Performance

Performance of a $10,000 Investment, Distributions Reinvested August 1, 1997 to October 31, 2004.

LINE GRAPH

                             
Average Annual Total Return through October 31, 2004 Since Inception Five Years One Year
Class A (commenced August 1, 1997)
                            
Excluding sales charges
    6.44%       7.62%       12.94%      
Including sales charges
    5.77%       6.63%       7.82%      
Class B (commenced August 1, 1997)
                            
Excluding contingent deferred sales charges
    5.66%       6.81%       12.09%      
Including contingent deferred sales charges
    5.66%       6.38%       6.68%      
Class C (commenced August 15, 1997)
                            
Excluding contingent deferred sales charges
    5.70%       6.82%       12.10%      
Including contingent deferred sales charges
    5.70%       6.82%       11.02%      
Institutional Class (commenced August 1, 1997)
     6.85%       8.03%       13.23%      
Service Class (commenced August 1, 1997)
     6.33%       7.50%       12.81%      
 
23

 

 
 GOLDMAN SACHS HIGH YIELD FUND

Statement of Investments

October 31, 2004
                                 
Principal Interest Maturity
Amount• Rate Date Value
   
Corporate Bonds – 90.5%
    Aerospace – 2.1%
    Argo-Tech Corp. (B/B3)†
      USD 3,000,000       9.25 %     06/01/2011     $ 3,270,000  
    Aspropulsion Capital B.V. (B-/B2)
      EUR 1,000,000       9.63       10/01/2013       1,376,784  
      5,250,000       9.63 †     10/01/2013       7,228,114  
    BE Aerospace, Inc. (Caa3)
      USD 3,250,000       9.50       11/01/2008       3,351,562  
    BE Aerospace, Inc. (B+/B3)
      1,000,000       8.50       10/01/2010       1,095,000  
    BE Aerospace, Inc. (B-/Caa3)
      1,000,000       8.00       03/01/2008       1,010,000  
      1,000,000       8.88       05/01/2011       1,052,000  
    Hexcel Corp. (CCC+/Caa2)
      3,500,000       9.75       01/15/2009       3,675,000  
    K&F Industries, Inc. (B-/B3)
      4,703,000       9.25       10/15/2007       4,797,060  
    MTU Aero Engines (B/B2)†
      EUR 3,750,000       8.25       04/01/2014       5,162,939  
    Sequa Corp. (BB-/B1)
      USD 4,000,000       9.00       08/01/2009       4,460,000  
    Standard Aero Holdings, Inc. (B-/Caa1)†
      2,250,000       8.25       09/01/2014       2,373,750  
    TD Funding Corp. (B-/B3)
      4,000,000       8.38       07/15/2011       4,300,000  
    Vought Aircraft Industries, Inc. (B/B2)
      2,000,000       8.00       07/15/2011       1,945,000  
                             
 
                            $ 45,097,209  
   
    Airlines – 0.2%
    Continental Airlines, Inc. (B/B3)
      USD 3,000,000       7.57 %     12/01/2006     $ 2,160,000  
    Delta Air Lines, Inc. (C)
      2,730,000       10.00       08/15/2008       1,433,250  
    Delta Air Lines, Inc. (C/Ca)
      1,000,000       7.90       12/15/2009       460,000  
                             
 
                            $ 4,053,250  
   
    Automotive Parts – 4.5%
    Accuride Corp. (CCC+/Caa1)
      USD 4,250,000       9.25 %     02/01/2008     $ 4,345,625  
    Advanced Accessory Systems (CCC+/B3)
      3,000,000       10.75       06/15/2011       2,730,000  
    Allied Holdings, Inc. (CCC+/Caa1)
      2,500,000       8.63       10/01/2007       1,975,000  
    Anchor Lamina, Inc.
      1,500,000       9.88       02/01/2008       1,095,000  
    Collins & Aikman Products (B-/B2)
      2,625,000       10.75       12/31/2011       2,625,000  
    Collins & Aikman Products (B-/B3)†
      500,000       12.88       08/15/2012       430,000  
    Dana Corp. (BB/Ba3)
      EUR 1,500,000       9.00       08/15/2011       2,256,395  
      USD 1,000,000       9.00       08/15/2011       1,187,500  
    Delco Remy International, Inc. (CCC+/B3)
      USD 3,250,000       11.00       05/01/2009       3,412,500  
    Duerr AG (B/B2)†
      EUR 3,750,000       9.75       07/15/2011       4,959,767  
    Federal-Mogul Corp.Ø
      USD 2,375,000       7.50       01/15/2009       682,813  
    Foamex LP (B-/B3)
      4,500,000       10.75       04/01/2009       4,275,000  
    Foamex LP (CCC+/Caa2)
      3,000,000       9.88       06/15/2007       2,145,000  
    Intermet Corp.
      1,750,000       9.75       06/15/2009       691,250  
    Keystone Automotive Operations, Inc. (B-/B3)
      4,000,000       9.75       11/01/2013       4,280,000  
    LucasVarity PLC
      GBP 3,400,000       10.88       07/10/2020       7,641,108  
    Navistar International Corp. (BB-/Ba3)
      USD 2,750,000       9.38       06/01/2006       2,956,250  
    Schefenacker AG (B-/B2)
      EUR 3,500,000       9.50       02/11/2014       3,703,293  
    Stoneridge, Inc. (B+/B1)
      USD 3,000,000       11.50       05/01/2012       3,435,000  
    Teksid Aluminium (B-/B2)†
      EUR 5,000,000       9.50       02/11/2014       5,640,989  
    Tenneco Automotive, Inc. (B-/B2)
      USD 2,000,000       10.25       07/15/2013       2,330,000  
    Tenneco Automotive, Inc. (B-/B3)
      3,000,000       11.63       10/15/2009       3,180,000  
    The Goodyear Tire & Rubber Co. (B/B3)
      3,000,000       11.00       03/01/2011       3,360,000  
    The Goodyear Tire & Rubber Co. (B-/B3)
      5,000,000       7.86       08/15/2011       4,750,000  
    TRW Automotive (BB-/B1)
      2,250,000       9.38       02/15/2013       2,587,500  
    TRW Automotive (BB-/B2)
      3,250,000       11.00       02/15/2013       3,867,500  
      EUR6,013,000       11.75       2/15/2013       9,045,137  
    United Components, Inc. (B/B3)
      USD 5,500,000       9.38       06/15/2013       5,953,750  
                             
 
                            $ 95,541,377  
   
    Building Materials – 5.0%
    Associated Materials, Inc. (B-/Caa1)†
      USD 9,000,000       11.25 %     03/01/2014     $ 6,615,000  
    Atrium Cos., Inc. (B-/B3)
      4,000,000       10.50       05/01/2009       4,200,000  
    Carmeuse Lime B.V. (B+/Ba3)
      EUR 9,000,000       10.75       07/15/2012       13,251,542  
    Culligan Finance Corp. B.V. (B-/B3)†
      2,875,000       8.00       10/01/2014       3,742,931  
    FIMEP/Legrand S.A. (B1)
      USD 8,750,000       10.50       02/15/2013       10,237,500  
    FIMEP/Legrand S.A. (B+/B1)
      EUR 6,250,000       11.00       02/15/2013       9,560,997  
    Grohe Holdings (B-/B3)†
      12,750,000       8.63       10/01/2014       16,822,575  
    Heating Finance PLC (B/B2)†
      GBP 1,750,000       7.88       03/31/2014       3,041,996  
                                 
   
 
The accompanying notes are an integral part of these financial statements.

24

 

 
 
 
GOLDMAN SACHS HIGH YIELD FUND 
                                 
Principal Interest Maturity
Amount• Rate Date Value
   
Corporate Bonds – (continued)
    Building Materials – (continued)
    Interface, Inc. (CCC/Caa3)
      USD 2,000,000       9.50 %     02/01/2014     $ 2,160,000  
    Jacuzzi Brands, Inc. (B/B3)
      3,000,000       9.63       07/01/2010       3,382,500  
    Legrand S.A. (B+/Ba3)
      5,050,000       8.50       02/15/2025       5,794,875  
    Sanitec International S.A. (B-/B3)
      EUR9,000,000       9.00       05/15/2012       12,419,736  
    Texas Industries, Inc. (BB-/B1)
      USD5,000,000       10.25       06/15/2011       5,750,000  
    USG Corp.Ø
      2,000,000       8.50       08/01/2005       2,220,000  
      1,500,000       9.25       09/15/2049       1,537,500  
    Werner Holdings Co., Inc. (CCC+/B3)
      5,000,000       10.00       11/15/2007       4,675,000  
                             
 
                            $ 105,412,152  
   
    Capital Goods – 3.3%
    Coleman Cable, Inc. (B-/B3)†
      USD 750,000       9.88 %     10/01/2012     $ 774,375  
    Columbus McKinnon Corp. (B-/B3)
      2,750,000       10.00       08/01/2010       3,011,250  
    Dresser, Inc. (B/B2)
      4,000,000       9.38       04/15/2011       4,460,000  
    Dresser-Rand Group, Inc. (B-/B3)†
      2,000,000       7.38       11/01/2014       2,090,000  
    Flender Holdings GMBH (B-/B2)
      EUR 6,500,000       11.00       08/01/2010       9,777,713  
    Flowserve Corp. (B/B2)
      USD 3,000,000       12.25       08/15/2010       3,367,500  
    Flowserve Finance B.V. (B/B2)
      EUR 953,000       12.25       08/15/2010       1,354,596  
    General Binding Corp. (B-/Caa1)
      USD 5,500,000       9.38       06/01/2008       5,610,000  
    General Cable Corp. (B/B2)
      2,500,000       9.50       11/15/2010       2,812,500  
    Luxfer Holdings PLC (CCC+)
      GBP 3,250,000       10.13       05/01/2009       5,366,204  
    Metaldyne Corp. (B/Caa1)
      USD 5,000,000       11.00       06/15/2012       4,175,000  
    Mueller Holdings, Inc. (B-)§
      8,000,000       0.00/14.75       04/15/2014       5,120,000  
    NMHG Holding Co. (B+/B3)
      4,000,000       10.00       05/15/2009       4,420,000  
    Rexnord Corp. (B-/B3)
      11,250,000       10.13       12/15/2012       12,712,500  
    Terex Corp. (B/B3)
      1,000,000       10.38       04/01/2011       1,125,000  
      2,000,000       9.25       07/15/2011       2,250,000  
    Thermadyne Holdings Corp.Ø
      4,000,000       12.50       06/01/2008       4  
                             
 
                            $ 68,426,642  
   
    Chemicals – 8.1%
    Avecia Group PLC (CCC/Caa3)
      USD 8,250,000       11.00 %     07/01/2009     $ 7,693,125  
      250,000       11.00 †     07/01/2009       208,125  
    BCP Caylux Holdings Luxembourg SCA (B-/B3)†
      1,000,000       9.63       06/15/2014       1,120,000  
    Borden United States Finance/Nova Scotia (B-/B3)†
      2,750,000       9.00       07/15/2014       2,990,625  
    Compass Minerals International, Inc. (B-)§
      8,750,000       0.00/12.75       12/15/2012       7,350,000  
      7,750,000       0.00/12.00       06/01/2013       6,122,500  
    Crompton Corp. (B/B1)†
      2,500,000       9.88       08/01/2012       2,756,250  
    Crystal US Holdings (B-/Caa2)†§
      11,750,000       0.00/10.50       10/01/2014       7,314,375  
    Dynea International Oy (CCC/Caa2)
      EUR 6,500,000       12.25       08/15/2010       7,457,578  
    Equistar Chemical/Funding (B+/B2)
      USD 3,000,000       10.63       05/01/2011       3,457,500  
    Equistar Chemicals LP (B+/B2)
      2,750,000       10.13       09/01/2008       3,148,750  
      2,000,000       7.55       02/15/2026       1,860,000  
    Ethyl Corp. (B/B2)
      4,250,000       8.88       05/01/2010       4,590,000  
    Hercules, Inc. (BB-/Ba2)
      2,500,000       11.13       11/15/2007       2,993,750  
    HMP Equity Holdings Corp. (CCC+)@
      10,000,000       0.00       05/15/2008       6,400,000  
    Huntsman Advanced Materials LLC (B/B2)†
      5,000,000       11.00       07/15/2010       5,800,000  
    Huntsman ICI Chemicals (Caa1)
      EUR 4,500,000       10.13       07/01/2009       6,023,428  
    Huntsman ICI Holdings LLC (B-)
      USD 2,000,000       9.88       03/01/2009       2,220,000  
    Huntsman ICI Holdings LLC (CCC+/Caa2)@
      9,000,000       0.00       12/31/2009       4,882,500  
    Huntsman International LLC (CCC+/Caa1)
      EUR 4,875,000       10.13       07/01/2009       6,525,381  
    IMC Global, Inc. (BB/B1)
      USD 4,500,000       10.88       08/01/2013       5,692,500  
    IMC Global, Inc. (B+/B2)
      26,000       7.63       11/01/2005       26,780  
    Invista (B+/B1)†
      5,000,000       9.25       05/01/2012       5,500,000  
    ISP Chemco, Inc. (BB-/B1)
      2,500,000       10.25       07/01/2011       2,781,250  
    Kraton Polymers LLC (B-/Caa1)†
      1,000,000       8.13       01/15/2014       1,000,000  
    LBC Luxembourg (CCC+/Caa1)
      EUR 3,250,000       11.00       05/15/2014       4,376,148  
    Lucite International Finance PLC (B+/B2)
      7,250,000       10.25       05/15/2010       10,027,893  
    Lyondell Chemical Co. (B+/B1)
      USD 1,500,000       9.50       12/15/2008       1,631,250  
      4,000,000       10.50       06/01/2013       4,690,000  
   
 
The accompanying notes are an integral part of these financial statements.

25

 

 
 GOLDMAN SACHS HIGH YIELD FUND

Statement of Investments

October 31, 2004
                                 
Principal Interest Maturity
Amount• Rate Date Value
   
Corporate Bonds – (continued)
    Chemicals – (continued)
    Rhodia S.A. (Caa1)
      EUR 9,000,000       9.25 %     06/01/2011     $ 10,670,073  
    Rhodia S.A. (CCC+/B3)
      USD 2,000,000       8.00       06/01/2010       2,504,981  
      2,000,000       10.25       06/01/2010       2,170,000  
    Rhodia S.A. (CCC+/Caa1)
      3,500,000       8.88       06/01/2011       3,220,000  
    Rockwood Specialties, Inc. (B-/B3)
      5,000,000       10.63       05/15/2011       5,550,000  
    Royster-Clark, Inc. (B-/Caa1)
      2,250,000       10.25       04/01/2009       2,317,500  
    Solutia Europe S.A. N.V.
      EUR 1,000,000       10.00       12/15/2008       1,364,035  
    Sovereign Specialty Chemicals, Inc. (B-/Caa1)
      USD 6,750,000       11.88       03/15/2010       7,256,250  
    United Agri Products (B-/B3)†
      2,000,000       8.25       12/15/2011       2,160,000  
    Witco Corp. (B+/Ba3)
      7,000,000       7.75       04/01/2023       6,457,500  
                             
 
                            $ 170,310,047  
   
    Conglomerates – 3.5%
    ABB International Finance Ltd. (BB-/Ba2)
      USD 2,500,000       4.63 %     05/16/2007     $ 2,628,125  
      EUR 4,000,000       11.00       01/15/2008       6,042,550  
    Blount, Inc. (B-/Caa1)
      USD 3,750,000       8.88       08/01/2012       4,082,813  
    Britax Group PLC@
      EUR20,000,000       0.00       02/02/2012       5,966,062  
    Britax Group PLC (B-/B3)
      6,000,000       11.25       05/15/2011       8,184,214  
    Invensys PLC
      USD 1,000,000       6.50       01/15/2010       920,000  
    Invensys PLC (B-/B3)
      205,000       7.13       01/15/2007       213,200  
      3,000,000       6.50       01/15/2010       2,781,000  
      5,000,000       9.88       03/15/2011       5,225,000  
    Mark IV Industries, Inc. (B/Caa1)
      10,007,000       7.50       09/01/2007       9,456,615  
    Noma Luxembourg S.A. (B-/B3)
      EUR 2,000,000       9.75       07/15/2011       2,651,583  
    Polypore, Inc. (CCC+/Caa1)
      1,250,000       8.75       05/15/2012       1,641,305  
      2,000,000       8.75 †     05/15/2012       2,626,087  
      USD 750,000       8.75 †     05/15/2012       783,750  
    SPX Corp. (BB+/Ba3)
      5,500,000       7.50       01/01/2013       5,885,000  
    The Manitowoc Co., Inc. (B/B2)
      EUR 4,500,000       10.38       05/15/2011       6,396,307  
    Trimas Corp. (B/B3)
      USD 7,250,000       9.88       06/15/2012       7,431,250  
                             
 
                            $ 72,914,861  
   
    Consumer Cyclicals-Services – 1.9%
    APCOA, Inc. (CCC+)
      USD 3,000,000       9.25 %     03/15/2008     $ 2,670,000  
    Ashtead Holdings (B-/B2)
      GBP 2,500,000       12.00       05/01/2014       5,182,744  
    Brickman Group Ltd. (B/B2)
      USD 2,000,000       11.75       12/15/2009       2,310,000  
    H&E Equipment Services LLC (B-/B3)
      2,250,000       11.13       06/15/2012       2,351,250  
    Integrated Electrical Services, Inc. (B/B3)
      2,500,000       9.38       02/01/2009       2,112,500  
    Interline Brands, Inc. (B-/Caa1)
      5,000,000       11.50       05/15/2011       5,575,000  
    MSX International, Inc. (B-/B2)
      2,000,000       11.00       10/15/2007       2,020,000  
    MSX International, Inc. (CCC+/Caa1)
      1,000,000       11.38       01/15/2008       770,000  
    The Shaw Group, Inc. (BB-/Ba3)
      3,500,000       10.75       03/15/2010       3,736,250  
    United Rentals North America, Inc. (B+/B2)
      4,000,000       7.75       11/15/2013       3,880,000  
      2,750,000       7.00       02/15/2014       2,536,875  
    Wesco Distribution, Inc. (B-/B3)
      3,250,000       9.13       06/01/2008       3,351,563  
    Williams Scotsman, Inc. (B-/B3)
      2,750,000       9.88       06/01/2007       2,598,750  
                             
 
                            $ 39,094,932  
   
    Consumer Products – 4.7%
    Ames True Temper, Inc. (CCC+/Caa1)†
      USD 4,500,000       10.00 %     07/15/2012     $ 4,815,000  
    Armkel LLC (B+/B1)
      4,250,000       9.50       08/15/2009       4,643,125  
    Bombardier Recreational Products, Inc. (B-/B3)†
      6,000,000       8.38       12/15/2013       6,450,000  
    Briggs & Stratton Corp. (BBB-/Ba1)
      2,500,000       8.88       03/15/2011       2,968,750  
    FTD, Inc. (B-/B3)
      2,000,000       7.75       02/15/2014       2,020,000  
    Herbalife International, Inc. (B/B2)
      4,250,000       11.75       07/15/2010       4,887,500  
    Jafra Cosmetics International, Inc. (B-/B3)
      2,000,000       10.75       05/15/2011       2,240,000  
    Johnsondiversey Holdings, Inc. (B/B3)§
      5,000,000       0.00/10.67       05/15/2013       4,250,000  
    Johnsondiversey, Inc. (B/B2)
      EUR 2,000,000       9.63       05/15/2012       2,855,551  
      USD 2,000,000       9.63       05/15/2012       2,250,000  
    Jostens Holding Corp. (B-/Caa2)§
      4,750,000       0.00/10.25       12/01/2013       3,348,750  
    Jostens IH Corp. (B-/B3)†
      5,000,000       7.63       10/01/2012       5,175,000  
    MemberWorks, Inc. (B/B2)†
      3,000,000       9.25       04/01/2014       3,135,000  
    Norcross Safety Products (B-/B3)
      4,250,000       9.88       08/15/2011       4,632,500  
   
 
The accompanying notes are an integral part of these financial statements.

26

 

 
 
 
GOLDMAN SACHS HIGH YIELD FUND 
                                 
Principal Interest Maturity
Amount• Rate Date Value
   
Corporate Bonds – (continued)
    Consumer Products – (continued)
    Playtex Products, Inc. (CCC+/Caa2)
      USD 6,500,000       9.38 %     06/01/2011     $ 6,857,500  
    Prestige Brands, Inc. (CCC+/Caa1)†
      3,500,000       9.25       04/15/2012       3,535,000  
    Reddy Ice Holdings, Inc. (B-/Caa1)†§
      3,500,000       0.00/10.50       11/01/2012       2,362,500  
    Remington Arms Co., Inc. (CCC+/B3)
      2,500,000       10.50       02/01/2011       2,250,000  
    Safilo Capital International S.A. (CCC+/Caa2)
      EUR14,875,000       9.63       05/15/2013       18,535,985  
    Sola International, Inc. (B/B1)
      USD 2,000,000       6.88       03/15/2008       2,006,000  
    Texon International PLC
      DEM 2,250,000       10.00       02/01/2010       439,962  
    United Industries Corp. (B-/B3)
      USD 3,000,000       9.88       04/01/2009       3,150,000  
    WH Holdings (B/B3)
      6,000,000       9.50       04/01/2011       6,570,000  
                             
 
                            $ 99,378,123  
   
    Defense – 0.4%
    Alliant Techsystems, Inc. (B/B2)
      USD 1,500,000       8.50 %     05/15/2011     $ 1,631,250  
    Heckler Koch GMBH (B/B1)
      EUR 2,000,000       9.25       07/15/2011       2,715,323  
    L-3 Communications Corp. (BB-/Ba3)
      USD 3,500,000       6.13       01/15/2014       3,640,000  
                             
 
                            $ 7,986,573  
   
    Electric – 4.7%
    AES Corp. (B-/B2)
      USD 5,250,000       9.50 %     06/01/2009     $ 6,050,625  
      5,250,000       9.38       09/15/2010       6,142,500  
    Allegheny Energy Supply Co. LLC (B-/B3)†
      5,750,000       8.25       04/15/2012       6,483,125  
    Calpine Canada Energy Finance (CCC+/Caa1)
      8,750,000       8.50       05/01/2008       5,381,250  
    Calpine Corp. (B)†
      1,750,000       9.88       12/01/2011       1,316,875  
      4,000,000       8.75       07/15/2013       2,890,000  
    Calpine Corp. (CCC+/Caa1)
      1,250,000       8.63       08/15/2010       712,500  
      3,750,000       8.50       02/15/2011       2,156,250  
    Dynegy Holdings, Inc. (B-/B3)†
      5,000,000       10.13       07/15/2013       5,825,000  
    Dynegy Holdings, Inc. (CCC+/Caa2)
      4,500,000       8.75       02/15/2012       4,758,750  
      1,500,000       7.13       05/15/2018       1,327,500  
    Edison Mission Energy (B/B1)
      1,500,000       10.00       08/15/2008       1,751,250  
      1,000,000       9.88       04/15/2011       1,182,500  
    Elwood Energy LLC (B+/Ba2)
      2,726,250       8.16       07/05/2026       2,889,825  
    Ipalco Enterprises, Inc. (BB-/Ba1)
      2,000,000       8.63       11/14/2011       2,265,000  
    Midwest Generation LLC (B/B1)
      USD 1,000,000       8.30       07/02/2009       1,080,000  
      5,000,000       8.56       01/02/2016       5,550,000  
    Midwest Generation LLC (B-/B1)-
      2,000,000       8.75       05/01/2034       2,275,000  
    Mirant Americas Generation LLCØ
      3,250,000       7.63       05/01/2006       3,168,750  
    Mirant Corp. (a)†Ø
      1,500,000       7.90       07/15/2009       990,000  
    Mirant Mid-Atlantic LLCØ
      2,172,278       9.13       06/30/2017       2,308,046  
    Nortek, Inc. (B-/B3)†
      5,000,000       8.50       09/01/2014       5,300,000  
    Noteco Ltd. (Drax) A2±#
      GBP 1,521,000       9.03       12/30/2004       5,469,235  
    Noteco Ltd. (Drax) A3±#
      287,000       10.04       12/30/2004       0  
    NRG Energy, Inc. (B+/B2)†
      USD 3,500,000       8.00       12/15/2013       3,867,500  
    Portland General Electric (BBB+/Baa2)
      5,000,000       9.31       08/11/2021       6,052,230  
    Reliant Resources, Inc. (B/B1)
      3,000,000       9.25       07/15/2010       3,315,000  
      2,750,000       9.50       07/15/2013       3,107,500  
    South Point Energy Center LLC (B/B2)†
      1,450,000       8.40       05/30/2012       1,247,000  
      4,000,000       9.83       05/30/2019       3,040,000  
                             
 
                            $ 97,903,211  
   
    Energy – 2.1%
    Aker Kvaerner ASA (B2)
      EUR 3,750,000       8.38 %     06/15/2011     $ 5,115,134  
    AmeriGas Partners LP (BB-/B2)
      USD 2,000,000       8.88       05/20/2011       2,190,000  
    Benton Oil & Gas Co. (B3)
      3,500,000       9.38       11/01/2007       3,556,875  
    EL Paso Production Holding Co. (B-/B3)
      9,000,000       7.75       06/01/2013       9,405,000  
    Grant Prideco Escrow, Inc. (BB-/Ba3)
      500,000       9.00       12/15/2009       562,500  
    Grant Prideco, Inc. (BB-/Ba3)
      1,500,000       9.63       12/01/2007       1,695,000  
    Paramount Resources Ltd. (B/B3)
      2,000,000       7.88       11/01/2010       2,220,000  
    Peabody Energy Corp. (BB-/Ba3)
      2,500,000       6.88       03/15/2013       2,737,500  
    Premcor Refining Group, Inc. (B/B2)
      2,500,000       7.75       02/01/2012       2,775,000  
    Sonat, Inc. (CCC+/Caa1)
      1,000,000       7.63       07/15/2011       1,020,000  
    Star Gas Partners LP (CCC/Caa3)
      2,250,000       10.25       02/15/2013       2,165,625  
    Tesoro Petroleum Corp. (BB-/B2)
      5,000,000       9.63       04/01/2012       5,837,500  
   
 
The accompanying notes are an integral part of these financial statements.

27

 

 
 GOLDMAN SACHS HIGH YIELD FUND

Statement of Investments

October 31, 2004
                                 
Principal Interest Maturity
Amount• Rate Date Value
   
Corporate Bonds – (continued)
    Energy – (continued)
    Vintage Petroleum, Inc. (B/B1)
      USD 1,500,000       7.88 %     05/15/2011     $ 1,620,000  
    Vintage Petroleum, Inc. (BB-/Ba3)
      2,000,000       8.25       05/01/2012       2,240,000  
                             
 
                            $ 43,140,134  
   
    Entertainment – 1.1%
    Imax Corp. (B-/B3)†
      USD 1,250,000       9.63 %     12/01/2010     $ 1,259,375  
    Marquee, Inc. (B-/B2)†
      1,875,000       8.63       08/15/2012       2,043,750  
    Six Flags, Inc. (CCC+/B3)
      1,000,000       8.88       02/01/2010       965,000  
      4,250,000       9.75       04/15/2013       4,095,938  
    Universal City Development Partners (B-/B2)
      8,750,000       11.75       04/01/2010       10,237,500  
    Warner Music Group (B-/B3)†
      4,000,000       7.38       04/15/2014       4,110,000  
                             
 
                            $ 22,711,563  
   
    Environmental – 0.6%
    Allied Waste North America, Inc. (BB-/B2)
      USD 2,375,000       8.88 %     04/01/2008     $ 2,517,500  
      1,500,000       8.50       12/01/2008       1,575,000  
      1,500,000       7.88       04/15/2013       1,530,000  
      1,750,000       6.13       02/15/2014       1,620,938  
    IESI Corp. (B-/B3)
      2,500,000       10.25       06/15/2012       2,700,000  
    Waste Services (CCC/Ca)†
      3,125,000       9.50       04/15/2014       2,953,125  
                             
 
                            $ 12,896,563  
   
    Finance – 0.3%
    Refco Finance Holdings LLC (B/B3)†
      USD 6,750,000       9.00 %     08/01/2012     $ 7,290,000  
   
    Food – 3.4%
    American Seafoods Group LLC (B-/B3)
      USD 4,000,000       10.13 %     04/15/2010     $ 4,280,000  
    Barry Callebaut Services N.V. (BB-/B1)
      EUR 3,000,000       9.25       03/15/2010       4,245,083  
    Burns Philp Capital Party Ltd (B+/B3)
      USD 4,000,000       10.75       02/15/2011       4,480,000  
      3,000,000       9.75       07/15/2012       3,300,000  
    Dole Food Co. (B+/B2)
      5,250,000       8.63       05/01/2009       5,814,375  
      3,000,000       8.88       03/15/2011       3,367,500  
    Domino’s, Inc. (B-/B2)
      4,011,000       8.25       07/01/2011       4,371,990  
    Eagle Family Foods (CCC/Caa2)
      3,500,000       8.75       01/15/2008       2,660,000  
    Land O’ Lakes, Inc. (B/B2)
      1,000,000       9.00       12/15/2010       1,050,000  
    Land O’ Lakes, Inc. (B-/B3)
      6,000,000       8.75       11/15/2011       5,550,000  
    Michael Foods, Inc. (B-/B3)
      USD 4,250,000       8.00       11/15/2013       4,430,625  
    New World Pasta Co.Ø
      3,000,000       9.25       02/15/2009       240,000  
    Parmalat Finance Corp. B.V.Ø
      EUR 9,750,000       6.13       09/29/2010       2,416,690  
    Pinnacle Foods Holding Corp. (B/B3)†
      USD 4,000,000       8.25       12/01/2013       3,760,000  
    Swift & Co. (B/B2)
      5,000,000       12.50       01/01/2010       5,550,000  
    Swift & Co. (B+/B1)
      3,000,000       10.13       10/01/2009       3,330,000  
    United Biscuits Finance (CCC+/B3)
      EUR 5,500,000       10.63       04/15/2011       7,607,367  
      GBP 3,000,000       10.75       04/15/2011       5,613,875  
                             
 
                            $ 72,067,505  
   
    Gaming – 3.4%
    Ameristar Casinos, Inc. (B/B2)
      USD 4,000,000       10.75 %     02/15/2009     $ 4,540,000  
    Autotote Corp. (B/B2)
      3,082,000       12.50       08/15/2010       3,490,365  
    Boyd Gaming Corp. (B+/B1)
      2,000,000       8.75       04/15/2012       2,250,000  
    Chukchansi Economic Development Authority†
      2,000,000       14.5       06/15/2009       2,520,000  
    Circus & Eldorado (B+/B1)
      3,500,000       10.13       03/01/2012       3,797,500  
    Inn of the Mountain Gods (B/B3)
      5,000,000       12.00       11/15/2010       5,781,250  
    Kerzner International Ltd. (B/B2)
      3,750,000       8.88       08/15/2011       4,115,625  
    Mandalay Resort Group (BB+/Ba2)
      250,000       6.45       02/01/2006       258,750  
    Mandalay Resort Group (BB-/Ba3)
      3,250,000       10.25       08/01/2007       3,705,000  
      2,000,000       9.38       02/15/2010       2,335,000  
    MGM Mirage, Inc. (BB-/Ba2)
      5,000,000       8.38       02/01/2011       5,668,750  
    Mirage Resorts, Inc. (BB+/Ba1)
      3,125,000       7.25       08/01/2017       3,250,000  
    Mohegan Tribal Gaming Authority (B+/Ba3)
      3,000,000       8.00       04/01/2012       3,315,000  
    MTR Gaming Group, Inc. (B+/B2)
      3,000,000       9.75       04/01/2010       3,270,000  
    Park Place Entertainment Corp. (BB+/Ba1)
      1,500,000       7.50       09/01/2009       1,698,750  
    Park Place Entertainment Corp. (BB-/Ba2)
      6,125,000       7.88       03/15/2010       6,982,500  
      2,500,000       8.13       05/15/2011       2,921,875  
    Poster Financial Group, Inc. (B/B2)
      2,000,000       8.75       12/01/2011       2,095,000  
    River Rock Entertainment (B+/B2)
      2,000,000       9.75       11/01/2011       2,167,500  
   
 
The accompanying notes are an integral part of these financial statements.

28

 

 
 
 
GOLDMAN SACHS HIGH YIELD FUND 
                                 
Principal Interest Maturity
Amount• Rate Date Value
   
Corporate Bonds – (continued)
    Gaming – (continued)
    Station Casinos, Inc. (B+/B1)
      USD 2,500,000       6.88 %     03/01/2016     $ 2,662,500  
    Venetian Casino Resort LLC (B/B2)
      4,750,000       11.00       06/15/2010       5,468,437  
                             
 
                            $ 72,293,802  
   
    Health Care – 4.4%
    Alliance Imaging, Inc. (B-/B3)
      USD 4,000,000       10.38 %     04/15/2011     $ 4,400,000  
    AmeriPath, Inc. (B-/Caa1)
      6,500,000       10.50       04/01/2013       6,370,000  
    Biovail Corp. (BB-/B2)
      3,000,000       7.88       04/01/2010       3,112,500  
    Dade Behring, Inc. (B+/B2)
      568,675       11.91       10/03/2010       645,446  
    Healthsouth Corp.-
      1,500,000       7.63       01/02/2009       1,455,000  
    Medex, Inc. (B-/B3)
      3,000,000       8.88       05/15/2013       3,277,500  
    Medical Device Manufacturing, Inc. (B-/Caa1)†
      2,000,000       10.00       07/15/2012       2,140,000  
    NDCHealth Corp. (B/B2)
      3,500,000       10.50       12/01/2012       3,736,250  
    NYCO Holdings 2 APS†‡
      EUR 4,791,280       16.00       09/30/2013       6,230,080  
    NYCO Holdings 2 APS (B-/B3)
      10,000,000       11.50       03/31/2013       14,723,936  
    PerkinElmer, Inc. (BB-/Ba3)
      USD 8,000,000       8.88       01/15/2013       9,000,000  
    Psychiatric Solutions, Inc. (B-/B3)
      2,500,000       10.63       06/15/2013       2,856,250  
    Quintiles Transnational Corp. (B/B3)
      6,000,000       10.00       10/01/2013       6,540,000  
    Senior Housing Properties Trust (BB+/Ba2)
      3,000,000       7.88       04/15/2015       3,315,000  
    Service Corp. International (BB/Ba3)
      500,000       6.88       10/01/2007       528,750  
      1,000,000       7.70       04/15/2009       1,085,000  
    Stewart Enterprises, Inc. (B+/B2)
      1,000,000       10.75       07/01/2008       1,097,500  
    Sybron Dental Specialties, Inc. (BB-/B1)
      4,000,000       8.13       06/15/2012       4,340,000  
    Tenet Healthcare Corp. (B-/B3)
      10,500,000       7.38       02/01/2013       9,922,500  
    US Oncology, Inc. (B-/B2)†
      4,000,000       9.00       08/15/2012       4,230,000  
    Vanguard Health Holding II (CCC+/Caa1)†
      2,000,000       9.00       10/01/2014       2,070,000  
    Ventas Realty LP (BB/Ba3)
      2,000,000       9.00       05/01/2012       2,325,000  
                             
 
                            $ 93,400,712  
   
    Home Construction – 0.1%
    Standard Pacific Corp. (B+/Ba3)
      USD 1,000,000       9.25 %     04/15/2012     $ 1,155,000  
   
    Lodging – 1.1%
    Cornell Co., Inc. (B-/B3)
      USD 1,500,000       10.75 %     07/01/2012     $ 1,563,750  
    Corrections Corp. of America (B/B1)
      4,000,000       9.88       05/01/2009       4,500,000  
      2,000,000       7.50       05/01/2011       2,160,000  
    Gaylord Entertainment Co. (B-/B3)
      3,000,000       8.00       11/15/2013       3,217,500  
    Host Marriott LP (B+/Ba3)
      1,875,000       9.50       01/15/2007       2,071,875  
      445,000       7.88       08/01/2008       457,237  
      5,000,000       7.13       11/01/2013       5,393,750  
    Starwood Hotels & Resorts Worldwide, Inc. (BB+/Ba1)
      1,000,000       7.88       05/01/2012       1,168,750  
      2,000,000       7.38       11/15/2015       2,255,000  
                             
 
                            $ 22,787,862  
   
    Media – Broadcasting & Radio – 0.2%
    Antenna TV S.A. (B+/B1)
      USD 889,000       9.00 %     08/01/2007     $ 897,890  
    Clear Channel Communications, Inc. (BBB-/Baa3)
      3,000,000       8.00       11/01/2008       3,397,200  
                             
 
                            $ 4,295,090  
   
    Media – Broadcast Towers – 0.6%
    American Tower Corp. (CCC/Caa1)
      USD 2,942,000       9.38 %     02/01/2009     $ 3,111,165  
    American Tower Escrow Corp. (CCC/B3)@
      2,750,000       0.00       08/01/2008       2,076,250  
    Crown Castle International Corp. (CCC/B3)
      6,000,000       7.50       12/01/2013       6,450,000  
                             
 
                            $ 11,637,415  
   
    Media-Cable – 5.0%
    Adelphia Communications Corp.Ø
      USD 2,000,000 -     3.25 %     05/01/2005     $ 460,000  
      2,000,000       9.38       11/15/2009       1,730,000  
      1,250,000       10.88       10/01/2010       1,081,250  
      3,750,000       10.25       06/15/2011       3,318,750  
    Atlantic Broadband Finance LLC (CCC+/Caa1)†
      4,250,000       9.38       01/15/2014       3,979,063  
    Cablevision Systems New York Group (B+/B3)†
      4,000,000       8.00       04/15/2012       4,290,000  
    Century Communications Corp.Ø@
      4,750,000       0.00       01/15/2008       2,850,000  
    Charter Communications Holdings II (CCC-/Caa1)
      4,000,000       10.25       09/15/2010       4,160,000  
    Charter Communications Holdings LLC (CCC-/Ca)
      500,000       10.00       04/01/2009       420,000  
      9,750,000       10.75       10/01/2009       8,238,750  
      3,500,000       9.63       11/15/2009       2,835,000  
      2,750,000       0.00/11.75 §     01/15/2010       2,330,625  
      7,000,000       9.92       04/01/2011       5,617,500  
      6,000,000       0.00/11.75 §     05/15/2011       3,870,000  
   
 
The accompanying notes are an integral part of these financial statements.

29

 

 
 GOLDMAN SACHS HIGH YIELD FUND

Statement of Investments

October 31, 2004
                                 
Principal Interest Maturity
Amount• Rate Date Value
   
Corporate Bonds – (continued)
    Media-Cable – (continued)
    CSC Holdings, Inc. (BB-/B1)
      USD 7,250,000       8.13 %     07/15/2009     $ 7,938,750  
    FrontierVision Holdings LPØ
      3,000,000       11.00       10/15/2006       3,750,000  
      7,000,000       11.88       09/15/2007       8,890,000  
    Mediacom Broadband LLC (B/B2)
      1,500,000       11.00       07/15/2013       1,605,000  
    Mediacom LLC (B/B3)
      4,000,000       9.50       01/15/2013       3,940,000  
    Ono Finance PLC (CCC-/Caa2)
      EUR 2,500,000       14.00       07/15/2010       3,489,764  
      2,750,000       10.50       05/15/2014       3,523,227  
    Tele Columbus AG & Co. (B-/B3)
      7,500,000       9.38       04/15/2012       9,321,972  
    Telenet Communication N.V. (B-/B3)
      750,000       9.00       12/15/2013       1,032,588  
      2,000,000       9.00       12/15/2013       2,753,567  
    Telenet Group Holding N.V. (CCC+/Caa2)†§
      USD17,000,000       0.00/11.50       06/15/2014       12,920,000  
                             
 
                            $ 104,345,806  
   
    Media-Non Cable – 0.9%
    DIRECTV Holdings LLC (BB-/B1)
      USD 5,000,000       8.38 %     03/15/2013     $ 5,718,750  
    Echostar DBS Corp. (BB-/Ba3)
      4,500,000       6.38       10/01/2011       4,651,875  
    Lamar Media Corp. (B/Ba3)
      2,500,000       7.25       01/01/2013       2,718,750  
      500,000       7.25 †     01/01/2013       466,250  
    Panamsat Corp. (B+/B2)†
      5,000,000       9.00       08/15/2014       5,275,000  
                             
 
                            $ 18,830,625  
   
    Metals – 1.2%
    AK Steel Corp. (B+/B3)
      USD 500,000       7.88 %     02/15/2009     $ 507,500  
      4,000,000       7.75       06/15/2012       4,050,000  
    Almatis Holdings B.V. (B-/B3)
      EUR 1,500,000       9.00       07/15/2012       2,055,614  
    Earle M. Jorgensen Co. (B-/B2)
      USD 2,250,000       9.75       06/01/2012       2,491,875  
    OM Group, Inc. (B-/Caa1)
      5,000,000       9.25       12/15/2011       5,262,500  
    UCAR Finance, Inc. (B/B2)
      8,000,000       10.25       02/15/2012       9,120,000  
    Wolverine Tube, Inc. (B+/B3)
      2,000,000       10.50       04/01/2009       2,170,000  
                             
 
                            $ 25,657,489  
   
    Packaging – 4.3%
    BSN Glasspack Obligation (B/B2)
      EUR 1,750,000       9.25 %     08/01/2009     $ 2,465,144  
    Consolidated Container Co. LLC (CCC/B3)§
      USD 1,500,000       0.00/10.75       06/15/2009       1,222,500  
    Consolidated Container Co. LLC (CCC/Caa2)
      5,000,000       10.13       07/15/2009       4,700,000  
    Constar International, Inc. (B/Caa1)
      USD 3,000,000       11.00       02/01/2012       2,872,500  
    Crown Euro Holdings S.A. (B/B2)
      5,000,000       10.88       03/01/2013       5,950,000  
    Crown Euro Holdings S.A. (B+)
      EUR 8,000,000       10.25       03/01/2011       11,677,165  
    Crown Euro Holdings S.A. (B+/B1)
      USD 2,000,000       9.50       03/01/2011       2,290,000  
    Graham Packaging Co. (Caa2)
      8,000,000       10.75       01/15/2009       8,320,000  
    Graham Packaging Co., Inc. (CCC+/Caa2)†
      16,000,000       9.88       10/15/2014       16,920,000  
    Impress Group B.V. (B-/B2)
      EUR 3,000,000       10.50       05/25/2007       4,092,107  
    Impress Metal Pack Holdings (CCC+/B3)
      DEM 7,500,000       9.88       05/29/2007       4,900,681  
    Owens Brockway Glass Container (B/B3)
      USD 2,500,000       8.25       05/15/2013       2,725,000  
    Owens Brockway Glass Container (BB-/B2)
      8,000,000       8.88       02/15/2009       8,740,000  
    Owens-Illinois, Inc. (B/Caa1)
      3,000,000       7.15       05/15/2005       3,075,000  
    Pliant Corp. (B-/B3)
      4,500,000       11.13       09/01/2009       4,837,500  
    Pliant Corp. (B-/Caa2)
      7,000,000       13.00       06/01/2010       6,527,500  
                             
 
                            $ 91,315,097  
   
    Paper – 3.3%
    Ainsworth Lumber Co., Ltd. (B+/B2)
      USD 3,250,000       7.25 %†     10/01/2012     $ 3,274,375  
      2,000,000       6.75       03/15/2014       1,920,000  
    Boise Cascade LLC (B+/B2)†
      2,250,000       7.13       10/15/2014       2,362,500  
    Georgia-Pacific Corp. (BB+/Ba2)
      6,000,000       9.38       02/01/2013       7,080,000  
    Georgia-Pacific Corp. (BB+/Ba3)
      5,000,000       8.13       05/15/2011       5,875,000  
      1,000,000       9.50       12/01/2011       1,250,000  
      1,500,000       7.70       06/15/2015       1,710,000  
    JSG Funding PLC (B/B3)
      2,500,000       9.63       10/01/2012       2,850,000  
      EUR 7,000,000       10.13       10/01/2012       10,128,283  
    JSG Funding PLC (B/Caa1)‡
      USD 3,387,252       15.50       10/01/2013       3,946,149  
    Kappa Beheer B.V. (B/B2)
      EUR 5,000,000       12.50       01/15/2005       6,852,048  
      3,750,000       10.63       07/15/2009       5,091,231  
    MDP Acquisitions PLC (B/Caa1)‡
      4,064,709       15.50       10/01/2013       5,933,035  
    Port Townsend Paper Corp. (B/B3)†
      USD 6,000,000       11.00       04/15/2011       6,360,000  
    Tembec Industries, Inc. (BB-/Ba3)
      4,000,000       8.50       02/01/2011       4,090,000  
                             
 
                            $ 68,722,621  
   
 
The accompanying notes are an integral part of these financial statements.

30

 

 
 
 
GOLDMAN SACHS HIGH YIELD FUND 
                                 
Principal Interest Maturity
Amount• Rate Date Value
   
Corporate Bonds – (continued)
    Pipelines – 4.1%
    El Paso CGP Co. (CCC+/Caa1)
      USD 2,000,000       7.63 %     09/01/2008     $ 2,070,000  
      1,000,000       10.75       10/01/2010       1,020,000  
      1,000,000       7.75       10/15/2035       897,500  
      2,000,000       7.42       02/15/2037       1,730,000  
    El Paso Corp. (CCC+/Caa1)
      EUR 6,000,000       5.75       03/14/2006       7,725,286  
      8,000,000       7.13       05/06/2009       10,274,885  
      USD 3,000,000       7.38       12/15/2012       3,011,250  
      6,000,000       7.80       08/01/2031       5,505,000  
      3,750,000       7.75       01/15/2032       3,450,000  
    El Paso Natural Gas Co. (B-/B1)
      2,875,000       8.63       01/15/2022       3,220,000  
      2,375,000       7.50       11/15/2026       2,386,875  
      4,250,000       8.38       06/15/2032       4,558,125  
    Southern Natural Gas Co. (B-/B1)
      3,000,000       8.88       03/15/2010       3,390,000  
      3,000,000       7.35       02/15/2031       3,026,250  
      1,500,000       8.00       03/01/2032       1,582,500  
    Tennessee Gas Pipeline Co. (B-/B1)
      3,000,000       7.00       10/15/2028       2,910,000  
      3,750,000       8.38       06/15/2032       4,050,000  
      1,500,000       7.63       04/01/2037       1,528,125  
    The Williams Cos., Inc. (B+/B1)
      6,750,000       8.13       03/15/2012       7,931,250  
      10,000,000       7.88       09/01/2021       11,350,000  
      1,000,000       7.50       01/15/2031       1,025,000  
    TransMontaigne, Inc. (B/B3)
      3,000,000       9.13       06/01/2010       3,345,000  
                             
 
                            $ 85,987,046  
   
    Publishing – 4.5%
    Advanstar Communications, Inc. (B-/B3)
      USD 4,000,000       10.75 %     08/15/2010     $ 4,460,000  
    Advanstar Communications, Inc. (CCC+/Caa2)
      3,750,000       12.00       02/15/2011       4,031,250  
    Advanstar, Inc.§
      2,875,000       0.00/15.00       10/15/2011       2,429,375  
    Advertising Directory Solution (B-/Caa1)†
      4,000,000       9.25       11/15/2012       4,008,320  
    American Lawyer Media, Inc. (CCC/Caa3)
      4,000,000       9.75       12/15/2007       4,010,000  
    American Media Operations, Inc. (B-/B2)
      2,000,000       8.88       01/15/2011       2,102,500  
    Dex Media East LLC (B/B2)
      3,087,000       12.13       11/15/2012       3,835,598  
    Dex Media West LLC (B/B2)
      10,744,000       9.88       08/15/2013       12,704,780  
    Dex Media, Inc. (B/B3)
      14,000,000       0.00/9.00 §     11/15/2013       10,640,000  
      1,250,000       8.00       11/15/2013       1,337,500  
    Houghton Mifflin Co. (B-/B3)
      1,750,000       9.88       02/01/2013       1,898,750  
    Houghton Mifflin Co. (B-/Caa1)§
      1,000,000       0.00/11.50       10/15/2013       647,500  
    Lighthouse International Co. S.A. (B/B3)
      EUR11,000,000       8.00       04/30/2014       13,742,340  
    Merrill Corp. (CCC+/Caa1)#
      USD 1,617,104       12.00       05/01/2009       1,714,130  
    Odyssee Financing S.A. (B/B3)
      EUR 3,125,000       8.38       10/15/2014       4,163,018  
    PEI Holdings, Inc. (B/B1)
      USD 2,261,000       11.00       03/15/2010       2,617,108  
    Polestar Corp. PLC‡
      GBP 298,199       12.50       06/30/2011       54,707  
    Polestar Corp. PLC (B2)
      68,885       10.50       05/30/2008       12,638  
    Primedia, Inc. (B/B3)
      USD 2,750,000       7.63       04/01/2008       2,770,625  
      4,000,000       8.88       05/15/2011       4,180,000  
      1,000,000       8.00 †     05/15/2013       1,002,500  
    WRC Media Corp. (CCC/Caa2)
      2,500,000       12.75       11/15/2009       2,350,000  
    Yell Finance B.V. (BB-/B1)
      6,388,000       0.00/13.50 §     08/01/2011       6,324,120  
      GBP 1,913,000       10.75       08/01/2011       3,930,740  
    Ziff Davis Media, Inc. (CC)#‡
      USD 459,485       13.00       08/12/2009       460,059  
                             
 
                            $ 95,427,558  
   
    Real Estate – 0.4%
    CB Richard Ellis Services, Inc. (B+/B1)
      USD 650,000       9.75 %     05/15/2010     $ 741,000  
    CB Richard Ellis Services, Inc. (B-/B3)
      4,000,000       11.25       06/15/2011       4,680,000  
    Crescent Real Estate Equities Ltd. (B/B1)
      2,000,000       9.25       04/15/2009       2,170,000  
                             
 
                            $ 7,591,000  
   
    Retailers – 1.8%
    Ahold Lease USA, Inc. (BB/Ba3)
      USD 3,000,000       8.62 %     01/02/2025     $ 3,262,500  
    Brake Bros. Finance PLC (B-/B3)
      GBP 6,500,000       12.00       12/15/2011       13,475,136  
    General Nutrition Center (B-/B3)
      USD 2,500,000       8.50       12/01/2010       2,525,000  
    Ingles Markets, Inc. (B+/Ba3)
      4,000,000       8.88       12/01/2011       4,320,000  
    Jean Coutu Group PJC, Inc. (B/B3)†
      4,000,000       8.50       08/01/2014       4,080,000  
    Pathmark Stores, Inc. (CCC+/B3)
      1,500,000       8.75       02/01/2012       1,410,000  
    Rite Aid Corp. (B+/B2)
      2,000,000       9.50       02/15/2011       2,205,000  
    Rite Aid Corp. (B-/Caa1)
      2,125,000       7.13       01/15/2007       2,140,937  
      3,000,000       6.88       08/15/2013       2,685,000  
    Victoria Acquisition III B.V. (B/B3)†
      EUR 2,000,000       7.88       10/01/2014       2,514,542  
                             
 
                            $ 38,618,115  
   
 
The accompanying notes are an integral part of these financial statements.

31

 

 
 GOLDMAN SACHS HIGH YIELD FUND

Statement of Investments

October 31, 2004
                                 
Principal Interest Maturity
Amount• Rate Date Value
   
Corporate Bonds – (continued)
    Technology – 3.6%
    Activant Solutions, Inc. (B+/B2)
      USD 3,000,000       10.50 %     06/15/2011     $ 3,120,000  
    AMI Semiconductor, Inc. (B/B3)
      4,216,000       10.75       02/01/2013       4,943,260  
    Amkor Technology, Inc. (B/B3)
      2,000,000       9.25       02/15/2008       1,920,000  
      1,000,000       7.75       05/15/2013       865,000  
    Amkor Technology, Inc. (CCC+/Caa1)
      1,500,000       5.75       06/01/2006       1,424,805  
    Avaya, Inc. (B+/B1)
      6,500,000       11.13       04/01/2009       7,458,750  
    DDI Capital Corp.‡
      2,286,342       16.00       01/01/2009       1,989,117  
    Global eXchange Services (CCC+/B2)#
      4,000,000       12.00       07/15/2008       3,565,000  
    Globix Corp.‡
      321,664       11.00       05/01/2008       286,281  
    Lucent Technologies, Inc. (B/B2)
      4,000,000       5.50       11/15/2008       4,110,000  
      5,250,000       6.45       03/15/2029       4,488,750  
    Nortel Networks Corp. (B-/B3)
      2,000,000       4.25       09/01/2008       1,925,000  
    Nortel Networks Ltd. (B-/B3)
      3,000,000       6.13       02/15/2006       3,063,750  
    Riverdeep Group (B-/B3)
      EUR 3,750,000       9.25       04/15/2011       4,971,719  
    Syniverse Technology (B-/B3)
      USD 5,750,000       12.75       02/01/2009       6,440,000  
    Telefonaktiebolaget LM Ericsson (BB+/Ba2)
      3,000,000       6.50       05/20/2009       3,229,500  
    Worldspan LP (B-/B2)
      7,500,000       9.63       06/15/2011       7,125,000  
    Xerox Capital Trust I (B-/Ba3)
      5,000,000       8.00       02/01/2027       4,975,000  
    Xerox Corp. (B+/Baa2)
      EUR 4,000,000       9.75       09/10/2009       6,004,306  
    Xerox Corp. (B+/Ba2)
      USD 2,250,000       9.75       01/15/2009       2,638,125  
      2,000,000       7.63       06/15/2013       2,200,000  
                             
 
                            $ 76,743,363  
   
    Telecommunications – 1.5%
    Alaska Communications System Holdings (B-/B2)
      USD 2,000,000       9.88 %     08/15/2011     $ 1,977,500  
    Carrier1 International S.A.Ø
      2,250,000       13.25       02/15/2009       202,500  
    Colt Telecom Group PLC (B-/B3)
      EUR 2,750,000       7.63       12/15/2009       3,321,650  
    Eircom Funding (BB-/B1)
      2,000,000       8.25       01/01/2005       2,830,055  
    Exodus Communications, Inc.Ø
      USD 1,500,000       11.25       07/01/2008       1  
      EUR 2,500,000       10.75       12/15/2009       31,870  
      USD 625,000       10.75       12/15/2009       1  
      2,000,000       11.63       07/15/2010       2  
    FairPoint Communications, Inc. (B-/Caa1)#
      USD 1,500,000       6.49       05/01/2008       1,440,000  
    PSINet, Inc.Ø
      3,750,000       10.00       02/15/2005       112,500  
      1,000,000       11.50       11/01/2008       30,000  
      1,000,000       11.00       08/01/2009       28,750  
    Qwest Capital Funding, Inc. (B/Caa2)
      6,000,000       7.90       08/15/2010       5,805,000  
    Qwest Communications International, Inc. (B/B3)†
      2,000,000       7.50       02/15/2014       1,920,000  
    Qwest Corp. (BB-/Ba3)
      4,000,000       9.13 †     03/15/2012       4,510,000  
      3,500,000       6.88       09/15/2033       2,992,500  
    Qwest Services Corp. (B/Caa1)†
      2,000,000       14.00       12/15/2010       2,370,000  
      3,088,000       14.50       12/15/2014       3,813,680  
                             
 
                            $ 31,386,009  
   
    Telecommunications-Cellular – 3.4%
    AirGate PCS, Inc. (CCC-/Caa1)
      USD 2,133,300       9.38 %     09/01/2009     $ 2,229,299  
    Alamosa Delaware, Inc. (CCC/Caa1)
      5,250,000       0.00/12.00 §     07/31/2009       5,617,500  
      1,787,000       11.00       07/31/2010       2,072,920  
      1,500,000       8.50       01/31/2012       1,586,250  
    American Cellular Corp. (B-/Caa1)
      5,000,000       10.00       08/01/2011       4,200,000  
    Centennial Cellular Communications (CCC/Caa1)
      4,500,000       10.13       06/15/2013       4,882,500  
    Horizon PCS, Inc. (CCC/B3)†
      1,125,000       11.38       07/15/2012       1,203,750  
    IWO Holdings, Inc. (Ca)Ø
      3,000,000       14.00       01/15/2011       1,350,000  
    Nextel Communications, Inc. (BB/Ba3)
      500,000       5.95       03/15/2014       510,000  
      15,000,000       7.38       08/01/2015       16,687,500  
    Nextel Partners, Inc. (B-/Caa1)
      1,709,000       12.50       11/15/2009       1,969,622  
      4,000,000       8.13       07/01/2011       4,400,000  
    Oskar Mobil (B/B1)
      EUR 2,000,000       7.50       10/15/2011       2,638,835  
    Partner Communications Co. Ltd. (B/B1)
      USD 4,000,000       13.00       08/15/2010       4,520,000  
    PTC International Finance II S.A. (BB+/Ba3)
      2,500,000       11.25       12/01/2009       2,656,250  
    Rural Cellular Corp. (CCC/Caa1)
      4,000,000       9.88       02/01/2010       4,050,000  
    Rural Cellular Corp. (CCC/Caa2)
      3,000,000       9.75       01/15/2010       2,595,000  
    Triton PCS, Inc. (CCC/Ca)
      6,000,000       9.38       02/01/2011       4,425,000  
      4,000,000       8.75       11/15/2011       2,820,000  
    Triton PCS, Inc. (CCC/Caa1)
      1,500,000       8.50       06/01/2013       1,380,000  
                             
 
                            $ 71,794,426  
   
 
The accompanying notes are an integral part of these financial statements.

32

 

 
 
 
GOLDMAN SACHS HIGH YIELD FUND 
                                 
Principal Interest Maturity
Amount• Rate Date Value
   
Corporate Bonds – (continued)
    Textiles – 0.6%
    Collins & Aikman Floor Cover (B-/Caa1)
      USD 1,750,000       9.75 %     02/15/2010     $ 1,863,750  
    Day International Group, Inc. (CCC+/Caa1)
      2,500,000       9.50       03/15/2008       2,543,750  
    Oxford Industries, Inc. (B/B2)
      3,500,000       8.88       06/01/2011       3,771,250  
    Russell Corp. (BB-/B1)
      2,000,000       9.25       05/01/2010       2,150,000  
    Warnaco, Inc. (B/B2)
      2,500,000       8.88       06/15/2013       2,800,000  
                             
 
                            $ 13,128,750  
   
    Transportation – 0.2%
    Petroleum Helicopters, Inc. (BB-/B1)
      USD 1,250,000       9.38 %     05/01/2009     $ 1,350,000  
    Stena AB (BB-/Ba3)
      2,000,000       9.63       12/01/2012       2,245,000  
      1,000,000       7.50       11/01/2013       1,042,500  
                             
 
                            $ 4,637,500  
   
    TOTAL CORPORATE BONDS
    (Cost $1,744,360,746)   $ 1,903,979,428  
   
 
   
Emerging Market Debt – 1.1%
    APP China Group Ltd. (D)†Ø
      USD 670,000       14.00 %     03/15/2010     $ 144,050  
    Federal Republic of Brazil (B1)
      1,782,608       8.00       04/15/2014       1,770,352  
    Federal Republic of Brazil (BB-/B1)
      770,000       10.13       05/15/2027       818,125  
      3,670,000       12.25       03/06/2030       4,525,110  
      4,600,000       11.00       08/17/2040       5,181,900  
    Republic of Argentina (D/Ca)
      5,300,000       12.00       06/19/2031       1,579,400  
    Republic of Venezuela (B/B2)
      4,730,000       9.38       01/13/2034       4,848,250  
    Russian Federation (BB+/Baa3)#
      4,000,000       5.00       03/31/2030       4,005,000  
   
    TOTAL EMERGING MARKET DEBT
    (Cost $22,194,558)   $ 22,872,187  
   
                                 
Shares Description Value
   
Common Stocks* – 1.2%
    AirGate PCS, Inc.
      50,354                     $ 1,136,742  
    Axiohm Transaction Solutions, Inc.
      24,334                       243  
    Brunner Mond
      4,064                       255,734  
    Chelys Ltd. Ordinary GDR
      37,947                       34,809  
    Cheyls Ltd. Preference GDR
      60,370                       44,302  
    Colt Telecom Group PLC
      113,664                       91,752  
    Completel Europe N.V.
      3,982                       130,713  
    Crunch Equity Holding, LLC
      3,157                       4,261,915  
    Dobson Communications Corp.
      225,274                       299,614  
    Drax Group Ltd.±
      287,000                       0  
    General Chemical Industrial Product, Inc.
       539                       150,139  
    Genesis HealthCare Corp.
      2,692                       82,591  
    Globix Corp.
      51,605                       134,173  
    Hayes Lemmerz International, Inc.
      45,251                       376,488  
    Haynes International, Inc.
      102,857                       1,131,427  
    Horizon PCS, Inc.
      20,458                       350,855  
    iPCS, Inc.
      71,241                       1,428,382  
    Mattress Discounters
      11,243                       0  
    NeighborCare, Inc.
      5,384                       137,992  
    Pathmark Stores, Inc.
      33,342                       143,704  
    Polestar Co.
       202                       4  
    Polymer Group, Inc.
      33,975                       417,553  
    Simonds Industries
      8,689                       86,890  
    Telewest Global, Inc.
   
    1,109,866                       13,651,352  
    Thermadyne Holdings Corp.
      14,135                       148,418  
    Viasystems Group, Inc.
      103,389                       360,000  
    WKI Holding Co., Inc.
      13,068                       124,146  
    WRC Media, Inc.†
      3,044                       61  
   
    TOTAL COMMON STOCKS
    (Cost $61,514,984)   $ 24,979,999  
   
 
The accompanying notes are an integral part of these financial statements.

33

 

 
 GOLDMAN SACHS HIGH YIELD FUND

Statement of Investments

October 31, 2004
                                 
Interest Maturity
Shares Rate Date Value
   
Preferred Stocks – 1.0%
    Avecia Group PLC (CCC-/Ca)‡
      70,000       16.00 %     07/01/2010     $ 1,505,000  
    Dobson Communications Corp.†*
      3,500       6.00       08/19/2016       181,982  
    Eagle-Picher Holdings, Inc. (D/Ca)*
       200       11.75       03/01/2008       1,800,000  
    GNC Corp. (CCC+)-‡
      2,750       12.00       12/01/2004       2,915,000  
    HLI Operating Co., Inc.*
       184       8.00       12/31/2049       10,120  
    Lucent Technologies Capital Trust I (CCC/Caa1)†
      1,000       7.75       03/15/2017       1,165,510  
    Primedia, Inc. (Ca)
      77,780       10.00       02/01/2008       7,466,880  
    Rural Cellular Corp. (CCC/C)‡
      3,540       12.25       05/15/2011       2,141,819  
    Song Networks Holding AB*
      21,284       0.00       12/30/2007       194,895  
    Spanish Broadcasting Systems Incorporated (CCC/Caa2)-‡
      2,766       10.75       10/15/2008       3,014,940  
    Ziff Davis Holdings, Inc.*
       120       10.00       03/31/2010       6,240  
   
    TOTAL PREFERRED STOCKS
    (Cost $18,952,092)           $ 20,402,386  
   
                                 
Expiration
Units Description Date Value
   
Warrants* – 0.2%
    Advanstar Holdings Corp.
      2,875               10/15/2011     $ 57  
    American Tower Escrow Corp.
      2,750               08/01/2008       664,125  
    ASAT Finance LLC
      2,000               11/01/2006       3,000  
    Asia Pulp & Paper Ltd.
       670               03/15/2005       7  
    Avecia Group PLC
      80,000               07/01/2010       40,000  
    General Chemical Industrial Product, Inc.
       311               04/30/2011       0  
    General Chemical Industrial Product, Inc. Series B
       231               04/30/2011       0  
    Hayes Lemmerz International, Inc.
      5,598               06/03/2006       3,079  
    HMP Equity Holdings Corp.
      10,000               05/15/2011       3,000,000  
    Horizon PCS, Inc.
      2,500               10/01/2010       25  
    IWO Holdings, Inc.
      3,000               01/15/2011       30  
    Knology, Inc.
      1,750               10/23/2007       18  
    Mattress Discounters Holding Corp.
       750               07/15/2007       8  
    MDP Acquisitions PLC
      2,500               09/30/2013       6,374  
      2,500               10/01/2013       97,500  
    Merrill Corp.
      4,228               05/01/2009       42  
    Mueller Holdings, Inc.
      8,000               04/15/2014       480,000  
    Nycomed Holding
      2,229               09/18/2013       28  
    Ono Finance PLC
      5,000               05/31/2009       64  
      1,250               05/31/2009       12  
    Pliant Corp.
      7,000               06/01/2010       70  
    Thermadyne Holdings Corp.
      13,526               05/23/2006       1,353  
    Ziff Davis Holdings, Inc.
      22,000               08/12/2012       2,200  
   
    TOTAL WARRANTS
    (Cost $996,838)           $ 4,297,992  
   
    TOTAL INVESTMENTS BEFORE REPURCHASE AGREEMENT — 94.0%
    (Cost $1,848,019,218)           $ 1,976,531,992  
   
 
The accompanying notes are an integral part of these financial statements.

34

 

 
 
 
GOLDMAN SACHS HIGH YIELD FUND 
                                 
Principal Interest Maturity
Amount• Rate Date Value
   
Repurchase Agreement – 5.5%
    Joint Repurchase Agreement Account IIΔ
    USD 116,500,000     1.88 %     11/01/2004     $ 116,500,000  
     Maturity Value: $116,518,223
   
    TOTAL REPURCHASE AGREEMENT
    (Cost $116,500,000)   $ 116,500,000  
   
    TOTAL INVESTMENTS – 99.5%
    (Cost $1,964,519,218)   $ 2,093,031,992  
   

  The percent shown for each investment category reflects the value of investments in that category as a percentage of net assets.

 
 † Securities are exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the Investment Adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounted to $272,211,561, which represents approximately 12.9% of net assets as of October 31, 2004.
 
 @ Security is issued with a zero coupon. Income is recognized through the accretion of discount.
 
 § These securities are issued with a zero coupon or dividend rate which increases to the stated rate at a set date in the future.
 
 • The principal amount of each security is stated in the currency in which the bond is denominated. See below.
             
As a % of
Currency Description net assets
DEM
  = German Mark     0.3  
EUR
  = Euro Currency     18.0  
GBP
  = Great Britain Pound     2.4  
USD
  = United States Dollar     76.4  
 
 # Variable rate security. Interest rate disclosed is that which is in effect at October 31, 2004.
 
 ‡ Pay-in-kind securities.
 
 * Non-income producing securities.
 
 - Securities with “Put” or “Call” features. Maturity dates disclosed are the next “Put” or “Call” dates.
 
 Ø Security in default.
 
 ± Security priced as a unit.
 
 Δ Joint repurchase agreement was entered into on October 29, 2004.
             
   
    Investment Abbreviation:
    GDR   —   Global Depository Receipt
   

  Security ratings disclosed are issued by Standard & Poor’s/ Moody’s Investors Service and are unaudited. A description of the ratings is available in the Fund’s Statement of Additional Information.

 
The accompanying notes are an integral part of these financial statements.

35

 

 GOLDMAN SACHS HIGH YIELD FUND
 
Statement of Investments (continued)
October 31, 2004
 



ADDITIONAL INVESTMENT INFORMATION

JOINT REPURCHASE AGREEMENT ACCOUNT II — At October 31, 2004, the Fund had an undivided interest in the following Joint Repurchase Agreement Account II which equaled $116,500,000 in principal amount.

                             
Principal Interest Maturity Maturity
Repurchase Agreements Amount Rate Date Value
ABN AMRO, Inc. 
   $ 450,000,000       1.88 %   11/01/2004   $ 450,070,500  
Banc of America Securities LLC
    1,250,000,000       1.87     11/01/2004     1,250,194,793  
Banc of America Securities LLC
    600,000,000       1.89     11/01/2004     600,094,500  
Barclays Capital LLC
    1,200,000,000       1.89     11/01/2004     1,200,189,000  
Bear Stearns & Co. 
     500,000,000       1.87     11/01/2004     500,077,916  
Greenwich Capital Markets
    600,000,000       1.89     11/01/2004     600,094,500  
J.P. Morgan Chase & Co. 
     500,000,000       1.87     11/01/2004     500,077,916  
Morgan Stanley & Co. 
     1,000,300,000       1.87     11/01/2004     1,000,455,880  
Morgan Stanley & Co. 
     800,000,000       1.88     11/01/2004     800,125,334  
UBS LLC
    500,000,000       1.87     11/01/2004     500,077,916  
Westdeutsche Landesbank AG
    600,000,000       1.87     11/01/2004     600,093,501  
TOTAL
   $ 8,000,300,000                 $ 8,001,551,756  
  At October 31, 2004, the Joint Repurchase Agreement Account II was fully collateralized by Federal Home Loan Bank, 0.00% to 4.00%, due 01/21/2005 to 12/15/2011; Federal Home Loan Mortgage Association, 0.00% to 9.25%, due 11/15/2004 to 10/01/2034; Federal National Mortgage Association, 0.00% to 10.00%, due 11/01/2004 to 11/01/2034; Government National Mortgage Association, 6.50%, due 04/15/2033; United States Treasury Bonds, 10.38% to 12.75%, due 11/15/2010 to 11/15/2012 and United States Treasury Notes, 1.88% to 5.88%, due 11/15/2005 to 12/31/2005.  
 
The accompanying notes are an integral part of these financial statements.

36

 

 
 
 
GOLDMAN SACHS HIGH YIELD FUND 



ADDITIONAL INVESTMENT INFORMATION (continued)

FOREIGN CURRENCY CONTRACTS — At October 31, 2004, the Fund had outstanding forward foreign currency exchange contracts, both to purchase and sell foreign currencies as follows:

                                   
Unrealized
Open Forward Foreign Currency Value on
Purchase Contracts Settlement Date Current Value Gain Loss
Euro
                               
 
expiring 11/10/2004
  $ 4,363,911     $ 4,517,182     $ 153,271     $ —  
                                   
Unrealized
Open Forward Foreign Currency Value on
Sales Contracts Settlement Date Current Value Gain Loss
Euro
                               
 
expiring 11/10/2004
  $ 6,803,820     $ 6,778,785     $ 25,035     $ —  
 
expiring 11/10/2004
    373,201,802       387,939,758       —       14,737,956  
Great Britain Pound
                               
 
expiring 11/10/2004
    54,826,836       55,064,010       —       237,174  
TOTAL OPEN FORWARD
FOREIGN CURRENCY
SALE CONTRACTS
   $ 434,832,458     $ 449,782,553     $ 25,035     $ 14,975,130  
 
The accompanying notes are an integral part of these financial statements.

37

 

 
 GOLDMAN SACHS EMERGING MARKETS DEBT FUND

Performance Summary

October 31, 2004

The following graph shows the value, as of October 31, 2004, of a $10,000 investment made on August 29, 2003 (commencement of operations) in Institutional Shares of the Goldman Sachs Emerging Markets Debt Fund. For comparative purposes, the performance of the Fund’s benchmark, the JPM EMBI Global Diversified Index, is shown. This performance data represents past performance and should not be considered indicative of future performance which will fluctuate with changes in market conditions. These performance fluctuations will cause an investor’s shares, when redeemed, to be worth more or less than their original cost. Performance reflects expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance of Class A Shares will vary from Institutional Shares due to differences in fees and loads. In addition to the investment adviser’s decisions regarding issuer/industry/country investment selection and allocation, other factors may affect portfolio performance. These factors include, but are not limited to, portfolio operating fees and expenses, portfolio turnover, and subscription and redemption cash flows affecting a portfolio.

Emerging Markets Debt Fund’s Lifetime Performance

Performance of a $10,000 Investment, Distributions Reinvested August 29, 2003 to October 31, 2004.

LINE GRAPH

                     
Average Annual Total Return through October 31, 2004 Since Inception One Year
Class A (commenced August 29, 2003)
                    
Excluding sales charges
    16.47%       15.78%      
Including sales charges
    12.01%       10.58%      
Institutional Class (commenced August 29, 2003)
     17.00%       16.22%      
 
38

 

 
GOLDMAN SACHS EMERGING MARKETS DEBT FUND 

Statement of Investments

October 31, 2004
                                 
Principal Interest Maturity
Amount* Rate Date Value
   
Sovereign Debt Obligations – 88.1%
    Argentina – 6.4%
    Republic of Argentina (CCC+/Caa1)#
      USD 450,000       1.98 %     08/03/2012     $ 346,050  
    Republic of Argentina (D/Ca)
      160,000       11.75       04/07/2009       49,600  
      340,000       11.38       01/30/2017       108,800  
      2,398,425       12.25       06/19/2018       727,922  
      1,378,000       12.00       06/19/2031       410,644  
                             
 
                            $ 1,643,016  
   
    Brazil – 11.9%
    Federal Republic of Brazil (BB-/B1)
      USD 367,663       8.00 %     04/15/2014     $ 365,136  
      120,000       8.88       10/14/2019       118,500  
      320,000       10.13       05/15/2027       340,000  
      585,000       12.25       03/06/2030       721,305  
      1,350,000       11.00       08/17/2040       1,520,775  
                             
 
                            $ 3,065,716  
   
    Bulgaria – 2.0%
    Republic of Bulgaria (BBB-/Ba1)#
      USD 510,476       2.75 %     07/28/2012     $ 508,562  
   
    Colombia – 3.7%
    Republic of Colombia (BB/Ba2)
      USD 890,000       8.13 %     05/21/2024     $ 809,900  
      130,000       10.38       01/28/2033       141,700  
                             
 
                            $ 951,600  
   
    Croatia – 0.2%
    Republic of Croatia (BBB-/Baa3)#
      USD 38,182       2.81 %     07/31/2010     $ 38,182  
   
    Dominican Republic – 0.7%
    Dominican Republic (CC/B3)
      USD 50,000       9.50 %     09/27/2006     $ 43,750  
      180,000       9.04       01/23/2013       145,800  
                             
 
                            $ 189,550  
   
    Ecuador – 3.7%
    Republic of Ecuador (CCC+/Caa1)@
      USD 1,115,000       8.00 %     08/15/2030     $ 942,732  
   
    El Salvador – 1.2%
    Republic of El Salvador (BB+/Baa3)
      USD 310,000       8.25 %     04/10/2032     $ 310,868  
   
    Guatemala – 0.8%
    Republic of Guatemala (BB-/Ba2)†-
      USD 200,000       8.13 %     10/06/2019     $ 204,250  
   
    Indonesia – 1.6%
    Republic of Indonesia#
      USD 230,000       3.00 %     03/21/2005     $ 227,125  
      200,000       2.75       01/25/2006       194,000  
                             
 
                            $ 421,125  
   
    Ivory Coast – 0.6%
    Ivory Coast
      USD 845,500       2.00 %     03/29/2018     $ 156,418  
   
    Malaysia – 3.0%
    Malaysia (A-/Baa1)
      USD 645,000       8.75 %     06/01/2009     $ 773,288  
   
    Mexico – 6.2%
    Mexican Fixed Rate Bonds (Baa1)
      MXN 8,300,000       8.00 %     12/19/2013     $ 650,577  
    United Mexican States (BBB-/Baa2)
      USD 200,000       10.38       02/17/2009       247,100  
      670,000       6.38       01/16/2013       711,875  
                             
 
                            $ 1,609,552  
   
    Nigeria – 1.8%
    Central Bank of Nigeria
      USD 500,000       6.25 %     11/15/2020     $ 472,500  
   
    Panama – 2.8%
    Republic of Panama (BB/Ba1)
      USD 370,000       9.63 %     02/08/2011     $ 420,875  
      285,000       9.38       01/16/2023       308,512  
                             
 
                            $ 729,387  
   
    Peru – 4.6%
    Republic of Peru (BB/Ba3)
      USD 385,000       9.13 %     02/21/2012     $ 431,200  
      EUR 150,000       7.50       10/14/2014       190,503  
      USD 550,000       8.38       05/03/2016       574,750  
                             
 
                            $ 1,196,453  
   
    Philippines – 3.6%
    Republic of Philippines (BB/Ba2)
      USD 50,000       9.50 %-     10/21/2006     $ 54,125  
      295,000       9.38 -     01/18/2012       304,204  
      80,000       9.00       02/15/2013       80,600  
      160,000       8.88       03/17/2015       157,400  
      330,000       9.88       01/15/2019       332,046  
                             
 
                            $ 928,375  
   
    Russia – 11.9%
    Ministry Finance of Russia (BB+/Ba2)
      USD 1,135,000       3.00 %     05/14/2008     $ 1,052,713  
    Russian Federation (BB+/Baa3)@
      2,010,000       5.00       03/31/2030       2,012,512  
                             
 
                            $ 3,065,225  
   
    South Africa – 3.3%
    Republic of South Africa (A/A2)
      ZAR 2,400,000       13.00 %     08/31/2010     $ 469,383  
    Republic of South Africa (BBB/Baa2)
      USD 320,000       9.13       05/19/2009       380,800  
                             
 
                            $ 850,183  
   
 
The accompanying notes are an integral part of these financial statements.

39

 

 GOLDMAN SACHS EMERGING MARKETS DEBT FUND
 
Statement of Investments (continued)
October 31, 2004
 
                                 
Principal Interest Maturity
Amount* Rate Date Value
   
Sovereign Debt Obligations – (continued)
    South Africa – (continued)
    Turkey – 6.8%
    Republic of Turkey (BB-/B1)
      USD 960,000       11.75 %     06/15/2010     $ 1,192,800  
      200,000       7.25       03/15/2015       200,500  
      260,000       11.88       01/15/2030       357,175  
                             
 
                            $ 1,750,475  
   
    Ukraine – 3.3%
    Ukraine Government (B+/B1)
      USD 240,000       5.33 %#     08/5/2009     $ 246,600  
      590,000       7.65       06/11/2013       605,487  
                             
 
                            $ 852,087  
   
    Uruguay – 1.7%
    Republic of Uruguay (B/B3)‡
      USD 536,199       7.88 %     01/15/2033     $ 435,662  
   
    Venezuela – 6.3%
    Republic of Venezuela (B/B2)
      USD 300,000       5.38 %     08/07/2010     $ 274,500  
      863,000       8.50       10/08/2014       875,082  
      470,000       9.25       09/15/2027       480,810  
                             
 
                            $ 1,630,392  
   
    TOTAL SOVEREIGN DEBT OBLIGATIONS
    (Cost $21,846,297)   $ 22,725,598  
   
 
   
Corporate Debt Obligation – 0.7%
    Kazakhstan – 0.7%
    Kazkommerts International BV (BB-/Baa2)†
      USD 200,000       7.00 %     11/03/2009     $ 198,750  
   
    TOTAL CORPORATE DEBT OBLIGATION
    (Cost $197,934)   $ 198,750  
   
    TOTAL INVESTMENTS BEFORE REPURCHASE AGREEMENT — 88.8%
    (Cost $22,044,231)           $ 22,924,348  
   
 
   
Repurchase Agreement – 16.3%
    United States – 16.3%
    Joint Repurchase Agreement Account IIΔ
      USD 4,200,000       1.88 %     11/01/2004     $ 4,200,000  
     Maturity Value: $4,200,657
   
    TOTAL REPURCHASE AGREEMENT
    (Cost $4,200,000)   $ 4,200,000  
   
    TOTAL INVESTMENTS – 105.1%
    (Cost $26,244,231)   $ 27,124,348  
   

  The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.

 
 * The principal amount of each security or contract is stated in the currency in which the bond is denominated. See below.
             
    EUR   =   Euro Currency
    MXN   =   Mexican Peso
    USD   =   United States Dollar
    ZAR   =   South African Rand
 
 † Securities are exempt from registration under rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the Investment Adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounted to $403,000, which represents approximately 1.6% of net assets as of October 31, 2004.
 
 # Variable rate security. Interest rate disclosed is that which is in effect at October 31, 2004.
 
 @ Coupon increases periodically based upon a predetermined schedule. Stated interest rate in effect at October 31, 2004.
 
 ‡ Pay in kind security.
 
 - Securities with “Put” features. Maturity dates disclosed are the next “Put” date.
 
 Δ Joint repurchase agreement was entered into on October 29, 2004.

  Security ratings disclosed are issued by Standard & Poor’s/Moody’s Investors Service and are unaudited. A brief description of the ratings is available in the Fund’s Statement of Additional Information.

 
The accompanying notes are an integral part of these financial statements.

40

 

GOLDMAN SACHS EMERGING MARKETS DEBT FUND 
 
 
 



ADDITIONAL INVESTMENT INFORMATION

 
  JOINT REPURCHASE AGREEMENT ACCOUNT II — At October 31, 2004, the Fund had an undivided interest in the following Joint Repurchase Agreement Account II which equaled $4,200,000 in principal amount.
                             
Principal Interest Maturity Maturity
Repurchase Agreements Amount Rate Date Value
ABN AMRO, Inc.
  $ 450,000,000       1.88 %   11/01/2004   $ 450,070,500  
Banc of America Securities LLC
    1,250,000,000       1.87     11/01/2004     1,250,194,793  
Banc of America Securities LLC
    600,000,000       1.89     11/01/2004     600,094,500  
Barclays Capital LLC
    1,200,000,000       1.89     11/01/2004     1,200,189,000  
Bear Stearns & Co.
    500,000,000       1.87     11/01/2004     500,077,916  
Greenwich Capital Markets
    600,000,000       1.89     11/01/2004     600,094,500  
J.P. Morgan Chase & Co.
    500,000,000       1.87     11/01/2004     500,077,916  
Morgan Stanley & Co.
    1,000,300,000       1.87     11/01/2004     1,000,455,880  
Morgan Stanley & Co.
    800,000,000       1.88     11/01/2004     800,125,334  
UBS LLC
    500,000,000       1.87     11/01/2004     500,077,916  
Westdeutsche Landesbank AG
    600,000,000       1.87     11/01/2004     600,093,501  
TOTAL
   $ 8,000,300,000                 $ 8,001,551,756  
  At October 31, 2004, the Joint Repurchase Agreement Account II was fully collateralized by Federal Home Loan Bank, 0.00% to 4.00%, due 01/21/2005 to 12/15/2011; Federal Home Loan Mortgage Association, 0.00% to 9.25%, due 11/15/2004 to 10/01/2034; Federal National Mortgage Association, 0.00% to 10.00%, due 11/01/2004 to 11/01/2034; Government National Mortgage Association, 6.50%, due 04/15/2033; United States Treasury Bonds, 10.38% to 12.75%, due 11/15/2010 to 11/15/2012 and United States Treasury Notes, 1.88% to 5.88%, due 11/15/2005 to 12/31/2005.  
 
The accompanying notes are an integral part of these financial statements.

41

 

 GOLDMAN SACHS EMERGING MARKETS DEBT FUND
 
Statement of Investments (continued)
October 31, 2004
 
 


ADDITIONAL INVESTMENT INFORMATION (continued)

FOREIGN CURRENCY CONTRACTS — At October 31, 2004, the Fund had outstanding forward foreign currency exchange contracts to sell foreign currency.

                                   
Unrealized
Open Forward Foreign Currency Value on
Sale Contracts Settlement Date Current Value Gain Loss
Euro
                               
 
expiring 11/30/2004
  $ 191,315     $ 190,548     $ 767     $ —  
Mexican Peso
                               
 
expiring 11/18/2004
    641,719       643,244       —       1,525  
South African Rand
                               
 
expiring 01/25/2005
    472,562       472,534       28       —  
Open Forward Foreign Currency Sale Contracts
   $ 1,305,596     $ 1,306,326     $ 795     $ 1,525  
 
The accompanying notes are an integral part of these financial statements.

42

 

 
GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS 

Statements of Assets and Liabilities

October 31, 2004
                               
Global High Yield Emerging Markets
Income Fund Fund Debt Fund
 
    Assets:
   
Investment in securities, at value (identified cost $297,333,718, $1,848,019,218 and $22,044,231, respectively)
  $ 319,531,999     $ 1,976,531,992     $ 22,924,348  
   
Repurchase agreements, at value
    —       116,500,000       4,200,000  
   
Cash, at value(a)
    12,600       151,957       16,551  
   
Foreign currencies, at value (identified cost $52,092, $26,681 and $21,519, respectively)
    52,151       27,378       21,148  
   
Receivables:
                       
     
Interest, at value, net of allowances
    6,196,745       44,805,314       442,748  
     
Investment securities sold, at value
    749,985       5,990,668       359,523  
     
Forward foreign currency exchange contracts, at value
    6,243,426       178,306       795  
     
Fund shares sold
    424,325       5,173,904       23,976  
     
Variation margin
    973,735       —       —  
     
Reimbursement from investment adviser
    61,663       38,461       28,994  
   
Other assets, at value
    884       8,149       55  
   
   
Total assets
     334,247,513       2,149,406,129       28,018,138  
   
    Liabilities:
   
Due to custodian for foreign currencies, at value
    —       365,309       139  
   
Payables:
                       
     
Forward foreign currency exchange contracts, at value
    7,221,744       14,975,130       1,525  
     
Investment securities purchased, at value
    —       19,351,590       2,117,411  
     
Fund shares repurchased
    585,789       4,257,715       4,339  
     
Income distribution
    —       4,476,542       —  
     
Amounts owed to affiliates
    286,607       1,810,223       18,419  
     
Options written, at value (premium received $26,868 for Global Income Fund)
    20,252       —       —  
   
Accrued expenses, at value
    136,737       190,923       78,716  
   
   
Total liabilities
     8,251,129       45,427,432       2,220,549  
   
    Net Assets:
   
Paid-in capital
    361,664,448       2,033,560,007       23,798,910  
   
Accumulated undistributed net investment income
    4,443,525       20,146,037       2,050  
   
Accumulated net realized gain (loss) on investment, options, futures and foreign currency related transactions
    (60,931,138 )     (63,990,593 )     1,117,729  
   
Net unrealized gain on investments, options, futures and translation of assets and liabilities denominated in foreign currencies
    20,819,549       114,263,246       878,900  
   
   
NET ASSETS
   $ 325,996,384     $ 2,103,978,697     $ 25,797,589  
   
   
Net asset value, offering and redemption price per share:(b)
                       
     
Class A
    $13.65       $8.08       $11.18  
     
Class B
    $13.61       $8.09         —  
     
Class C
    $13.58       $8.08         —  
     
Institutional
    $13.64       $8.09       $11.19  
     
Service
    $13.63       $8.09         —  
   
   
Shares outstanding:
                       
     
Class A
    12,328,655       137,295,292       484,018  
     
Class B
    2,296,868       12,994,069       —  
     
Class C
    623,153       6,951,939       —  
     
Institutional
    8,614,666       102,857,821       1,821,836  
     
Service
    34,495       143,405       —  
   
   
Total shares outstanding, $.001 par value (unlimited number of shares authorized)
    23,897,837       260,242,526       2,305,854  
   

(a)  Includes restricted cash of $140,250 for segregation purposes for the High Yield Fund.
(b)  Maximum public offering price per share for Class A shares of the Global Income, High Yield and Emerging Markets Debt Funds (NAV per share multiplied by 1.0471) is $14.29, $8.46 and $11.71, respectively. At redemption, Class B and Class C shares may be subject to a contingent deferred sales charge, assessed on the amount equal to the lesser of the current net asset value or the original purchase price of the shares.

 
The accompanying notes are an integral part of these financial statements.

43

 

 
 GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS

Statements of Operations

For the Year Ended October 31, 2004
                               
Global High Yield Emerging Markets
Income Fund Fund Debt Fund
 
    Investment income:
   
Interest(a), net of allowances
  $ 12,865,711     $ 231,989,110     $ 1,239,475  
   
Dividends
    29,842       2,732,422       —  
   
   
Total income
     12,895,553       234,721,532       1,239,475  
   
    Expenses:
   
Management fees
    3,028,686       17,332,653       146,509  
   
Distribution and service fees(b)
    1,217,296       4,923,573       14,200  
   
Transfer agent fees(b)
    488,374       3,268,769       13,018  
   
Custody and accounting fees
    334,723       698,090       72,333  
   
Professional fees
    71,084       92,038       53,198  
   
Registration fees
    61,469       89,521       53,912  
   
Printing fees
    47,500       48,891       15,967  
   
Amortization of offering costs
    —       —       71,100  
   
Trustee fees
    14,201       14,201       11,115  
   
Service share fees
    2,817       5,381       —  
   
Other
    56,011       135,354       39,755  
   
   
Total expenses
     5,322,161       26,608,471       491,107  
   
   
Less — expense reductions
    (1,425,988 )     (507,396 )     (315,079 )
   
   
Net Expenses
     3,896,173       26,101,075       176,028  
   
   
NET INVESTMENT INCOME
     8,999,380       208,620,457       1,063,447  
   
    Realized and unrealized gain (loss) on investment, options, futures and foreign currency related transactions:
   
Net realized gain (loss) from:
                       
     
Investment transactions
    3,699,932       105,704,925       1,121,011  
     
Options written
    21,538       —       —  
     
Futures transactions
    (230,440 )     —       —  
     
Foreign currency related transactions
    6,606,780       32,451,692       (52,710 )
   
Net increase from payment by affiliates and net gains realized on the disposal of investments in violation of restrictions
    —       —       525  
   
Net change in unrealized gain (loss) on:
                       
     
Investments
    (1,665,130 )     (21,800,968 )     679,567  
     
Options written
    6,616       —       —  
     
Futures
    (789,491 )     —       —  
     
Translation of assets and liabilities denominated in foreign currencies
    (2,685,027 )     (20,677,889 )     (1,217 )
   
   
Net realized and unrealized gain on investment, options, futures and foreign currency related transactions
     4,964,778       95,677,760       1,747,176  
   
   
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS
   $ 13,964,158     $ 304,298,217     $ 2,810,623  
   

(a)   Net of $7,664, $6,979 and $287 in foreign withholding tax for the Global Income, High Yield and Emerging Markets Debt Funds, respectively.
(b)   Class specific Distribution and Service and Transfer Agent fees were as follows:

                                                                 
Distribution and Service Fees Transfer Agent Fees
Fund Class A Class B Class C Class A Class B Class C Institutional Service
Global Income Fund
  $ 777,008     $ 344,027     $ 96,261     $ 364,449     $ 65,365     $ 18,290     $ 40,045     $ 225  
High Yield Fund
    3,421,768       998,441       503,364       2,600,544       189,704       95,639       382,452       430  
Emerging Markets Debt Fund
    14,200       —       —       7,211       —       —       5,807       —  
 
The accompanying notes are an integral part of these financial statements.

44

 

 
GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS 

Statements of Changes in Net Assets

                                       
Global Income Fund High Yield Fund
For the For the For the For the
Year Ended Year Ended Year Ended Year Ended
October 31, 2004 October 31, 2003 October 31, 2004 October 31, 2003
 
    From operations:
   
Net investment income
  $ 8,999,380     $ 13,701,623     $ 208,620,457     $ 234,365,856  
   
Net realized gain (loss) on investment, options, futures and foreign currency related transactions
    10,097,810       (775,870 )     138,156,617       (74,531,284 )
   
Net change in unrealized gain (loss) on investments, futures, options and translation of assets and liabilities denominated in foreign currencies
    (5,133,032 )     10,951,214       (42,478,857 )     557,015,311  
   
   
Net increase in net assets resulting from operations
     13,964,158       23,876,967       304,298,217       716,849,883  
   
    Distributions to shareholders:
   
From net investment income
                               
     
Class A Shares
    (18,204,247 )     (12,518,641 )     (116,133,970 )     (126,325,801 )
     
Class B Shares
    (3,018,479 )     (1,739,113 )     (7,784,551 )     (6,252,357 )
     
Class C Shares
    (862,900 )     (525,346 )     (3,926,637 )     (2,673,680 )
     
Institutional Shares
    (9,468,960 )     (6,351,427 )     (85,237,365 )     (93,325,147 )
     
Service Shares
    (52,549 )     (45,398 )     (90,732 )     (59,029 )
   
   
Total distributions to shareholders
     (31,607,135 )     (21,179,925 )     (213,173,255 )     (228,636,014 )
   
    From share transactions:
   
Proceeds from sales of shares
    62,259,461       141,173,543       977,232,910       2,300,083,991  
   
Reinvestment of dividends and distributions
    26,707,499       17,820,233       145,984,629       152,657,653  
   
Cost of shares repurchased(a)
    (109,213,156 )     (247,456,671 )     (2,196,477,093 )     (1,425,659,389 )
   
   
Net increase (decrease) in net assets resulting from share transactions
     (20,246,196 )     (88,462,895 )     (1,073,259,554 )     1,027,082,255  
   
   
TOTAL INCREASE (DECREASE)
     (37,889,173 )     (85,765,853 )     (982,134,592 )     1,515,296,124  
   
    Net assets:
   
Beginning of year
    363,885,557       449,651,410       3,086,113,289       1,570,817,165  
   
   
End of year
  $ 325,996,384     $ 363,885,557     $ 2,103,978,697     $ 3,086,113,289  
   
   
Accumulated undistributed net investment income
   $ 4,443,525     $ 27,164,048     $ 20,146,037     $ 36,181,769  
   

(a)   Net of $274 and $94,167 of redemption fees remitted to the Global Income and High Yield Funds, respectively, for the year ended October 31, 2004.

 
The accompanying notes are an integral part of these financial statements.

45

 

 
 GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS

Statements of Changes in Net Assets (continued)

                       
Emerging Markets Debt Fund
For the For the Period
Year Ended August 29, 2003
October 31, 2004 to October 31, 2003(a)
 
    From operations:
   
Net investment income
  $ 1,063,447     $ 115,638  
   
Net realized gain on investment, futures and foreign currency related transactions
    1,068,301       50,078  
   
Net increase from payment by affiliates and net gains realized on the disposal of investments in violation of restrictions
    525       —  
   
Net change in unrealized gain on investments and translation of assets and liabilities denominated in foreign currencies
    678,350       200,550  
   
   
Net increase in net assets resulting from operations
     2,810,623       366,266  
   
    Distributions to shareholders:
   
From net investment income
               
     
Class A Shares
    (199,225 )     (1,969 )
     
Institutional Shares
    (831,857 )     (130,523 )
   
From net realized gains
               
     
Class A Shares
    (4,378 )     —  
     
Institutional Shares
    (39,398 )     —  
   
   
Total distributions to shareholders
     (1,074,858 )     (132,492 )
   
    From share transactions:
   
Proceeds from sales of shares
    15,599,364       22,681,510  
   
Reinvestment of dividends and distributions
    1,065,695       132,492  
   
Cost of shares repurchased(b)
    (5,379,594 )     (10,271,417 )
   
   
Net increase in net assets resulting from share transactions
     11,285,465       12,542,585  
   
   
TOTAL INCREASE
     13,021,230       12,776,359  
   
    Net assets:
   
Beginning of period
    12,776,359       —  
   
   
End of period
  $ 25,797,589     $ 12,776,359  
   
   
Accumulated undistributed net investment income
   $ 2,050     $ —  
   

(a)   Commencement of operations was August 29, 2003.
(b)  Net of $9 of redemption fees remitted to the Emerging Markets Debt Fund for the year ended October 31, 2004.

 
The accompanying notes are an integral part of these financial statements.

46

 

 
GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS 

Notes to Financial Statements

October 31, 2004

1. ORGANIZATION

Goldman Sachs Trust (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended, (the “Act”) as an open-end management investment company. The Trust includes the Goldman Sachs Global Income Fund (“Global Income Fund”), Goldman Sachs High Yield Fund (“High Yield Fund”) and Goldman Sachs Emerging Markets Debt Fund (“Emerging Markets Debt Fund”), (collectively, the “Funds” or individually a “Fund”). The High Yield and Emerging Markets Debt Funds are diversified portfolios of the Trust whereas the Global Income Fund is a non-diversified portfolio. The Global Income and High Yield Funds offer five classes of shares — Class A, Class B, Class C, Institutional and Service. Emerging Markets Debt Fund offers two classes of shares — Class A and Institutional.
     The High Yield Fund invests primarily in non-investment grade fixed-income securities, which are considered predominantly speculative by traditional investment standards. Non-investment grade fixed-income securities and unrated securities of comparable credit quality (commonly known as “junk bonds”) are subject to the increased risk of an issuer’s inability to meet principal and interest obligations. These securities, also referred to as high yield securities, may be subject to greater price volatility due to such factors as specific corporate developments, interest rate sensitivity, generally negative perceptions of the junk bond markets and less secondary market liquidity.
     The Emerging Markets Debt and Global Income Funds invest in securities of foreign companies and foreign governments which involves special risks; including, but not limited to, the possibility of future political and economic developments that could adversely affect the value of such securities. Moreover, securities of many foreign companies and foreign governments and their markets may be less liquid, and their prices more volatile, than those of comparable U.S. companies and the United States government. In addition, the Emerging Markets Debt Fund invests in the Sovereign Debt Obligations of countries that are considered emerging markets countries at the time of purchase. Therefore, the Fund is susceptible to governmental factors and economic developments adversely affecting the economies of these emerging markets countries. In addition, these debt obligations may be less liquid and subject to greater volatility than debt obligations of more developed countries.

2. SIGNIFICANT ACCOUNTING POLICIES

The following is a summary of significant accounting policies consistently followed by the Funds. The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that may affect the reported amounts. Actual results could differ from those estimates.

A. Investment Valuation — Portfolio securities for which accurate market quotations are readily available are valued on the basis of quotations furnished by a pricing service or provided by dealers in such securities. Short-term debt obligations maturing in sixty days or less are valued at amortized cost, which approximates market value. Investments in securities traded on a U.S. or foreign securities exchange (or the Nasdaq system) are valued daily at their last price or official closing price on the principal exchange or system on which they are traded. If no sale occurs, securities are valued at the last bid price. Portfolio securities for which accurate market quotations are not readily available or are deemed inaccurate by the Funds’ respective investment adviser are valued based on yield equivalents, pricing matrices or other sources, under valuation procedures established by the Trust’s Board of Trustees.

B. Security Transactions and Investment Income — Security transactions are recorded as of the trade date. Realized gains and losses on sales of portfolio securities are calculated using the identified cost basis. Interest income is recorded on the basis of interest accrued (net of foreign withholding taxes which are reduced by any amounts reclaimable by the Funds, where applicable), premium amortized and discount accreted. Net investment income (other than class specific expenses) and unrealized and realized gains or losses are allocated daily to each class of shares of the Funds based upon the relative proportion of net assets of each class.

     Certain mortgage security paydown gains and losses are recorded as realized gains and losses and are classified as interest income in the accompanying Statements of Operations. Original issue discounts (OID) on debt securities are amortized to interest income over the life of the security with a corresponding increase in the cost basis of that security.
 
47

 

 
 GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
 
Notes to Financial Statements (continued)
October 31, 2004
 
2. SIGNIFICANT ACCOUNTING POLICIES (continued)
Market discounts and market premiums on debt securities are amortized to interest income over the expected life of the security with a corresponding adjustment in the cost basis of that security.

C. Expenses — Expenses incurred by the Trust that do not specifically relate to an individual Fund of the Trust are allocated to the Funds on a straight-line or pro rata basis depending upon the nature of the expense.

     Class A, Class B and Class C shareholders of the Global Income and High Yield Funds and Class A shareholders of the Emerging Markets Debt Fund bear all expenses and fees relating to their respective Distribution and Service Plans. Each class of shares of the Funds separately bears its respective class-specific transfer agency fees. Service Shares of the Global Income and High Yield Funds bear all expenses and fees relating to their Service and Shareholder Administration Plans.

D. Federal Taxes — It is each Fund’s policy to comply with the requirements of the Internal Revenue Code (the “Code”) applicable to regulated investment companies and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, no federal tax provisions are required. Dividends and distributions to shareholders are recorded on ex-dividend date. Income distributions for the High Yield and Emerging Markets Debt Funds are declared daily and paid monthly. Income distributions for the Global Income Fund are declared and paid monthly. Capital gain distributions, if any, are declared and paid annually. In addition, the Funds may treat a portion of the proceeds from shares redeemed as distributions from net investment income for income tax purposes.

     The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with Federal income tax rules. Therefore, the source of a Fund’s distributions may be shown in the accompanying financial statements as either from net investment income or net realized gains, or from paid-in capital, depending on the type of book/tax differences that may exist.

E. Foreign Currency Translations — The books and records of the Funds are maintained in U.S. dollars. Amounts denominated in foreign currencies are translated into U.S. dollars on the following basis: (i) investment valuations, foreign currency and other assets and liabilities initially expressed in foreign currencies are converted each business day into U.S. dollars based upon current exchange rates; and (ii) purchases and sales of foreign investments, income and expenses are converted into U.S. dollars based upon currency exchange rates prevailing on the respective dates of such transactions.

     Net realized and unrealized gain (loss) on foreign currency transactions will represent: (i) foreign exchange gains and losses from the sale and holdings of foreign currencies and the sale of foreign denominated debt obligations; (ii) currency gains and losses between trade date and settlement date on investment securities transactions and forward exchange contracts; and (iii) gains and losses from the difference between amounts of dividends, interest and foreign withholding taxes recorded and the amounts actually received. The effect of changes in foreign currency exchange rates on securities and derivative instruments are segregated in the Statement of Operations from the effects of changes in market prices of those securities and derivative instruments and are included as increases and decreases in unrealized appreciation/depreciation on foreign currency related transactions. Net unrealized foreign exchange gains and losses arising from changes in the value of other assets and liabilities as a result of changes in foreign exchange rates are included as increases and decreases in unrealized appreciation/depreciation on foreign currency related transactions.

F. Mortgage Dollar Rolls — The Global Income Fund may enter into mortgage “dollar rolls” in which the Fund sells securities in the current month for delivery and simultaneously contracts with the same counterparty to repurchase similar (same type, coupon and maturity) but not identical securities on a specified future date. For financial reporting and tax reporting purposes, the Fund treats mortgage dollar rolls as two separate transactions; one involving the purchase of a security and a separate transaction involving a sale.

G. Segregation Transactions — The Funds may enter into derivative transactions to seek to increase total return. Forward foreign currency exchange contracts, futures contracts, written options, swap contracts, mortgage dollar rolls, when-issued securities and forward commitments represent examples of such transactions. As a result of entering into those transactions, the Funds are required to segregate liquid assets on the accounting records equal to or greater than the market value of the corresponding transactions.

 
48

 

 
GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS 
 
 
 
2. SIGNIFICANT ACCOUNTING POLICIES (continued)

H. Repurchase Agreements — Pursuant to exemptive relief granted by the Securities and Exchange Commission (the “SEC”) and terms and conditions contained therein, the Funds, together with other registered investment companies having management agreements with Goldman Sachs Asset Management, L.P. (“GSAM”), or its affiliates, transfer uninvested cash into joint accounts, the daily aggregate balance of which is invested in one or more repurchase agreements.

     Repurchase agreements involve the purchase of securities subject to the seller’s agreement to repurchase them at a mutually agreed upon date and price. During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of the Funds, including accrued interest, is required to equal or exceed the value of the repurchase agreement, including accrued interest. If the seller defaults or becomes insolvent, realization of the collateral by the Funds may be delayed or limited and there may be a decline in the value of the collateral during the period while the Funds assert their rights. The underlying securities for all repurchase agreements are held in safekeeping at the Funds’ custodian or designated subcustodians under triparty repurchase agreements.

I. Option Accounting Principles — When Global Income writes call or put options, an amount equal to the premium received is recorded as an asset and as an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option written. When a written option expires on its stipulated expiration date or the Fund enters into a closing purchase transaction, the Fund realizes a gain or loss without regard to any unrealized gain or loss on the underlying security, and the liability related to such option is extinguished. When a written call option is exercised, the Fund realizes a gain or loss from the sale of the underlying security, and the proceeds of the sale are increased by the premium originally received. When a written put option is exercised, the amount of the premium originally received will reduce the cost of the security which the Fund purchases upon exercise. There is a risk of loss from a change in value of such options which may exceed the related premiums received.

     Upon the purchase of a call option or a protective put option by the Fund, the premium paid is recorded as an investment and subsequently marked-to-market to reflect the current market value of the option. If an option which the Fund has purchased expires on the stipulated expiration date, the Fund will realize a loss in the amount of the cost of the option. If the Fund enters into a closing sale transaction, the Fund will realize a gain or loss, depending on whether the sale proceeds for the closing sale transaction are greater or less than the cost of the option. If the Fund exercises a purchased put option, the Fund will realize a gain or loss from the sale of the underlying security, and the proceeds from such sale will be decreased by the premium originally paid. If the Fund exercises a purchased call option, the cost of the security which the Fund purchases upon exercise will be increased by the premium originally paid.

J. Futures Contracts — The Funds may enter into futures transactions to hedge against changes in interest rates, securities prices, currency exchange rates or to seek to increase total return. Futures contracts are valued at the last settlement price at the end of each day on the board of trade or exchange upon which they are traded. Upon entering into a futures contract, the Funds are required to deposit with a broker or the Funds’ custodian bank an amount of cash or securities equal to the minimum “initial margin” requirement of the associated futures exchange. Subsequent payments for futures contracts (“variation margin”) are paid or received by the Funds, dependent on the fluctuations in the value of the contracts, and are recorded for financial reporting purposes as unrealized gains or losses. When contracts are closed, the Funds realize a gain or loss which is reported in the Statements of Operations.

     The use of futures contracts involve, to varying degrees, elements of market and counterparty risk which may exceed the amounts recognized in the Statements of Assets and Liabilities. Changes in the value of the futures contract may not directly correlate with changes in the value of the underlying securities. This risk may decrease the effectiveness of the Funds’ strategies and potentially result in a loss.

K. Forward Foreign Currency Exchange Contracts — The Funds may enter into forward foreign currency exchange contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date as a hedge or cross-hedge against either specific transactions or portfolio positions. The Funds may also purchase and sell forward contracts to seek to increase total return. All commitments are “marked-to-market” daily at the applicable translation rates and any resulting unrealized gains or losses are recorded in the Funds’ financial statements. The Funds record realized gains or losses at the

 
49

 

 
 GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
 
Notes to Financial Statements (continued)
October 31, 2004
 
2. SIGNIFICANT ACCOUNTING POLICIES (continued)
time a forward contract is offset by entry into a closing transaction or extinguished by delivery of the currency. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.
     The contractual amounts of forward foreign currency exchange contracts do not necessarily represent the amounts potentially subject to risk. The measurement of the risks associated with these instruments is meaningful only when all related and offsetting transactions are considered. At October 31, 2004, the Funds had sufficient cash and/or securities to cover any commitment under these contracts.

3. AGREEMENTS

GSAM, an affiliate of Goldman, Sachs & Co. (“Goldman Sachs”) serves as investment adviser pursuant to an Investment Management Agreement with the Trust on behalf of the High Yield and Emerging Markets Debt Funds, and Goldman Sachs Asset Management International (“GSAMI”), an affiliate of GSAM and Goldman Sachs, serves as investment adviser pursuant to an Investment Management Agreement with the Trust on behalf of the Global Income Fund (the Investment Management Agreements with GSAM and GSAMI are collectively referred to herein as the “Agreements”). Under the Agreements, the respective investment adviser manages the Funds, subject to the general supervision of the Trust’s Board of Trustees. As compensation for the services rendered pursuant to the Agreements, the assumption of the expenses related thereto and administering the Funds’ business affairs, including providing facilities, the investment advisers are entitled to a fee (“Management fee”) computed daily and payable monthly, equal to an annual percentage rate of each average daily net assets.
     For the year ended October 31, 2004, GSAMI has voluntarily agreed to waive a portion of its Management fee for the Global Income Fund equal to an annual percentage rate of the Fund’s average daily net assets. The adviser may discontinue or modify this waiver in the future at their discretion.
     Additionally, each investment adviser has voluntarily agreed to limit certain “Other expenses” of the Funds (excluding Management fees, Distribution and Service fees, Transfer Agent fees and expenses, taxes, Service Share Fees, interest and brokerage fees and litigation, indemnification, shareholder meeting and other extraordinary expenses) to the extent that such expenses exceed, on an annual basis, a percentage rate of the average daily net assets of each Fund. Such expense reimbursements, if any, are computed daily and paid monthly. In addition, the Funds are not obligated to reimburse their respective adviser for prior fiscal year expense reimbursements, if any.
     For the year ended October 31, 2004, the Funds’ Management fees, Management fee waivers and other expense limitations as an annual percentage rate of the respective Funds’ average daily net assets are as follows:
                         
Management Fee
Other
Contractual Waiver Expense
Fund Annual Rate Annual Rate Limit
Global Income
    0.90 %     0.25 %     0.004%  
High Yield
    0.70       —       0.024  
Emerging Markets Debt
    0.80       —       0.044  
     The Trust, on behalf of each Fund, has adopted Distribution and Service Plans (the “Plans”). Under the Plans, Goldman Sachs and/or Authorized Dealers are entitled to a monthly fee for distribution services equal, on an annual basis, to 0.25% of the average daily net assets attributable to Emerging Markets Debt Class A Shares and 0.25%, 0.75% and 0.75% of the average daily net assets attributable to Class A, Class B and Class C Shares, respectively of the High Yield and Global Income Funds. Additionally, Goldman Sachs and/or Authorized Dealers are entitled to receive, under the Plans, a separate fee for personal and account maintenance services equal to, on an annual basis, 0.25% of the Funds average daily net assets attributable to Class A (Global Income and Emerging Markets Debt Funds only) and Class B and Class C Shares. Prior to June 1, 2004, Goldman Sachs voluntarily agreed to waive a portion of the Distribution and Service fees equal to, on an
 
50

 

 
GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS 
 
 
 
3. AGREEMENTS (continued)
annual basis, 0.25% of the average daily net assets attributed to Class A Shares of Emerging Markets Debt Fund. Effective June 1, 2004, Goldman Sachs contractually agreed to eliminate the personal and account maintenance fee on Class A Shares for all of the Funds in the Trust.
     Goldman Sachs serves as Distributor of the shares of the Funds pursuant to a Distribution Agreement. Goldman Sachs may receive a portion of the Class A sales load and Class B and Class C contingent deferred sales charges. During the year ended October 31, 2004, Goldman Sachs advised the Funds that it retained approximately the following amounts:
                         
Contingent Deferred
Sales Charge
Sales Load
Fund Class A Class B Class C
Global Income
  $ 13,800     $ —     $ —  
High Yield
    381,600       600       500  
Emerging Markets Debt
    900       N/ A       N/ A  
     Effective May 24, 2004, Class A, Institutional and Service Shares of the Funds (as applicable) charge a 2% redemption fee on the redemption of shares (including by exchange) held for 30 calendar days or less.
     Goldman Sachs also serves as transfer agent of the Funds for a fee. Fees charged for such transfer agency services are calculated daily and payable monthly at an annual rate as follows: 0.19% of the average daily net assets for Class A, Class B, and Class C Shares and 0.04% of the average daily net assets for Institutional and Services Shares.
     The Trust, on behalf of Global Income and High Yield Funds, has adopted a Service Plan and Shareholder Administration Plan for Service Shares. These Plans allow for Service Shares to compensate service organizations for providing varying levels of personal and account administration and shareholder administration services to their customers who are beneficial owners of such shares. The Service Plan and Shareholder Administration Plan provide for compensation to the service organizations in an amount up to, on an annual basis, 0.25% and 0.25%, respectively, of the average daily net asset value of the Service Shares.
     For the year ended October 31, 2004, the investment advisers and distributor have voluntarily agreed to waive certain fees and reimburse other expenses. In addition, the Funds have entered into certain offset arrangements with the custodian resulting in a reduction of the Funds’ expenses. On September 22, 2004, Goldman Sachs, as Transfer Agent, voluntarily determined to make a payment to the Funds related to certain earnings credits that reduce transfer agent fees. For the year ended October 31, 2004, expense reductions were as follows (in thousands):
                                                 
Waivers
Class A
Distribution Other Transfer Total
Management and Service Expense Agent Custody Expense
Fund Fees Fees Reimbursement Credit Credit Reductions
Global Income
  $ 841       —     $ 572     $ 12     $ 1     $ 1,426  
High Yield
    —       —       484       11       12       507  
Emerging Markets Debt
    —     $ 5       309       —       1       315  
 
51

 

 
 GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS

Notes to Financial Statements (continued)

October 31, 2004

3. AGREEMENTS (continued)

As of October 31, 2004, the amounts owed to affiliates were as follows (in thousands):
                                 
Distribution Transfer
Management and Service Agent
Fund Fees Fees Fees Total
Global Income
  $ 179     $ 70     $ 38     $ 287  
High Yield
    1,219       363       228       1,810  
Emerging Markets Debt
    16       1       1       18  

4. PORTFOLIO SECURITIES TRANSACTIONS

The cost of purchases and proceeds of sales and maturities of long-term securities for the year ended October 31, 2004, were as follows:
                                 
Sales and Sales and maturities
Purchases of Purchases maturities of (excluding
U.S. Government (excluding U.S. Government U.S. Government
and agency U.S. Government and and agency and agency
Fund obligations agency obligations) obligations obligations)
Global Income
  $ 56,616,594     $ 295,500,652     $ 71,146,300     $ 335,311,411  
High Yield
    29,158,850       1,090,337,403       20,668,428       2,259,772,201  
Emerging Markets Debt
    —       55,460,629       —       45,566,144  

5. LINE OF CREDIT FACILITY

The Funds participate in a $350,000,000 committed, unsecured revolving line of credit facility. Under the most restrictive arrangement, each Fund must own securities having a market value in excess of 300% (400% prior to May 26, 2004) of the total bank borrowings. This facility is to be used solely for temporary or emergency purposes. The interest rate on borrowings is based on the federal funds rate. The committed facility also requires a fee to be paid by the Funds based on the amount of the commitment that has not been utilized. During the year ended October 31, 2004, the Funds did not have any borrowings under this facility.
 
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GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS 

 

6. ADDITIONAL TAX INFORMATION

The tax character of distributions paid during the fiscal year ended October 31, 2004 was as follows:
                           
Global Income High Yield Emerging Markets Debt
Distributions paid from:
                       
 
Ordinary income
  $ 31,607,135     $ 213,173,255     $ 1,074,858  
Total taxable distributions
  $ 31,607,135     $ 213,173,255     $ 1,074,858  

     The tax character of distributions paid during the fiscal year ended October 31, 2003 was as follows:

                         
Global Income High Yield Emerging Markets Debt
Distributions paid from:
                       
Ordinary income
  $ 21,179,925     $ 228,636,014     $ 132,492  
Total taxable distributions
  $ 21,179,925     $ 228,636,014     $ 132,492  

     As of October 31, 2004, the components of accumulated earnings on a tax basis were as follows:

                           
Global Income High Yield Emerging Markets Debt
Undistributed ordinary income — net
  $ 13,697,003     $ 15,392,038     $ 1,245,961  
Capital loss carryforward:
                       
 
Expiring 2010
    (28,737,453 )     (14,409,032 )     —  
 
Expiring 2011
    (30,750,749 )     (49,431,867 )     —  
 
Expiring 2012
    (1,611,665 )     —       —  
Total capital loss carryforward
  $ (61,099,867 )   $ (63,840,899 )   $ —  
Timing differences (deferred straddle losses, taxable interest on defaulted securities and dividends payable)
    (7,638,180 )     (10,042,825 )     (7,591 )
Unrealized gains — net
    19,372,980       128,910,376       760,309  
Total accumulated earnings — net
  $ (35,668,064 )   $ 70,418,690     $ 1,998,679  

     At October 31, 2004, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes was as follows:

                         
Global Income High Yield Emerging Markets Debt
Tax cost
  $ 300,605,773     $ 1,964,668,912     $ 26,363,552  
Gross unrealized gain
    19,240,856       222,709,638       786,026  
Gross unrealized loss
    (314,630 )     (94,346,558 )     (25,230 )
Net unrealized security gain
  $ 18,926,226     $ 128,363,080     $ 760,796  

     The difference between book-basis and tax-basis unrealized gains (losses) is attributable primarily to wash sales, net marked-to-market gain on futures and foreign currency contracts recognized for tax purposes and differing treatment of the amortization of market premium.

 
53

 

 
 GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS

Notes to Financial Statements (continued)

October 31, 2004

7. CERTAIN RECLASSIFICATIONS

In order to present certain components of the Funds’ capital accounts on a tax basis, certain reclassifications have been recorded to the Funds’ accounts. These reclassifications have no impact on the net asset value of the Funds. Reclassifications result primarily from treating a portion of the proceeds from shares redeemed as distributions from net investment income for tax purposes, the differing book/tax treatments for foreign currency transactions, certain consent fee payments and return of capital distributions from underlying fund investments.
                         
Accumulated Accumulated net realized
undistributed net gain (loss) on investment
Fund Paid-in capital investment income transactions
Global Income
  $ 7,594,876     $ (112,768 )   $ (7,482,108 )
High Yield
    23,853,236       (11,482,934 )     (12,370,302 )
Emerging Markets Debt
    (26,153 )     (30,315 )     56,468  
 
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GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS 

 

8. SUMMARY OF SHARE TRANSACTIONS

Share activity for the year ended October 31, 2004 is as follows:
                                                 
Emerging Markets
Global Income Fund High Yield Fund Debt Fund
Shares Dollars Shares Dollars Shares Dollars
Class A Shares
                                                
Shares sold
    1,705,932     $ 23,677,353       60,786,968     $ 482,296,132       628,921     $ 6,736,000  
Reinvestment of dividends and distributions
    1,156,825       16,008,172       10,070,907       79,914,528       18,679       197,409  
Shares converted from Class B(a)
    4,259       58,372       6,610       51,945       —       —  
Shares repurchased
    (6,147,586 )     (85,526,397 )     (167,256,507 )     (1,327,821,970 )     (270,069 )     (2,853,120 )
   
      (3,280,570 )   $ (45,782,500 )     (96,392,022 )     (765,559,365 )     377,531       4,080,289  
Class B Shares
                                                
Shares sold
    144,753       2,013,543       2,918,454       23,192,938       —       —  
Reinvestment of dividends and distributions
    179,557       2,477,114       588,398       4,672,437       —       —  
Shares converted to Class A(a)
    (4,275 )     (58,372 )     (6,602 )     (51,945 )     —       —  
Shares repurchased
    (611,637 )     (8,437,586 )     (3,057,110 )     (24,220,565 )     —       —  
   
      (291,602 )   $ (4,005,301 )     443,140       3,592,865       —       —  
Class C Shares
                                                
Shares sold
    99,892       1,378,991       2,790,975       22,173,898       —       —  
Reinvestment of dividends and distributions
    49,049       675,636       322,817       2,560,358       —       —  
Shares repurchased
    (310,803 )     (4,294,118 )     (2,169,365 )     (17,137,950 )     —       —  
   
      (161,862 )     (2,239,491 )     944,427       7,596,306       —       —  
Institutional Shares
                                                
Shares sold
    2,540,203       34,927,716       56,425,341       448,752,747       835,831       8,863,364  
Reinvestment of dividends and distributions
    544,249       7,507,345       7,402,859       58,825,581       82,127       868,286  
Shares repurchased
    (758,876 )     (10,546,829 )     (104,379,407 )     (826,639,453 )     (239,256 )     (2,526,474 )
   
      2,325,576       31,888,232       (40,551,207 )     (319,061,125 )     678,702       7,205,176  
Service Shares
                                                
Shares sold
    18,847       261,858       101,799       817,195       —       —  
Reinvestment of dividends and distributions
    2,836       39,232       1,474       11,725       —       —  
Shares repurchased
    (29,626 )     (408,226 )     (82,610 )     (657,155 )     —       —  
   
      (7,943 )     (107,136 )     20,663       171,765       —       —  
NET INCREASE (DECREASE)
     (1,416,401 )   $ (20,246,196 )     (135,534,999 )   $ (1,073,259,554 )     1,056,233     $ 11,285,465  

(a)  Class B Shares automatically convert into Class A Shares at the end of the calendar quarter that is eight years after the initial purchase date of either the Fund or another Goldman Sachs Fund.

 
55

 

 
 GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS

Notes to Financial Statements (continued)

October 31, 2004

8. SUMMARY OF SHARE TRANSACTIONS (continued)

Share activity for the period ended October 31, 2003 is as follows:
                                                 
Emerging Markets
Global Income Fund High Yield Fund Debt Fund(a)
Shares Dollars Shares Dollars Shares Dollars
Class A Shares
                                                
Shares sold
    7,145,801     $ 104,771,082       225,237,679     $ 1,601,630,766       106,450     $ 1,086,691  
Reinvestment of dividends and distributions
    743,869       10,862,519       11,324,263       82,547,326       201       1,969  
Shares repurchased
    (10,118,711 )     (147,811,286 )     (123,570,514 )     (905,186,583 )     (164 )     (1,667 )
   
      (2,229,041 )     (32,177,685 )     112,991,428       778,991,509       106,487       1,086,993  
Class B Shares
                                                
Shares sold
    344,355       5,032,023       5,768,535       41,296,281       —       —  
Reinvestment of dividends and distributions
    98,367       1,431,750       428,619       3,116,718       —       —  
Shares repurchased
    (510,983 )     (7,457,687 )     (2,111,876 )     (15,323,429 )     —       —  
   
      (68,261 )     (993,914 )     4,085,278       29,089,570       —       —  
Class C Shares
                                                
Shares sold
    196,341       2,870,475       4,080,160       29,178,609       —       —  
Reinvestment of dividends and distributions
    27,470       399,145       193,927       1,414,300       —       —  
Shares repurchased
    (246,752 )     (3,590,641 )     (1,418,424 )     (10,156,552 )     —       —  
   
      (22,941 )     (321,021 )     2,855,663       20,436,357       —       —  
Institutional Shares
                                                
Shares sold
    1,939,705       28,441,267       88,751,553       627,584,051       2,137,191       21,594,819  
Reinvestment of dividends and distributions
    348,867       5,086,936       9,041,529       65,570,523       12,779       130,523  
Shares repurchased
    (5,990,141 )     (87,902,975 )     (68,026,313 )     (494,928,174 )     (1,006,836 )     (10,269,750 )
   
      (3,701,569 )     (54,374,772 )     29,766,769       198,226,400       1,143,134       11,455,592  
Service Shares
                                                
Shares sold
    3,968       58,696       53,621       394,284       —       —  
Reinvestment of dividends and distributions
    2,736       39,883       1,222       8,786       —       —  
Shares repurchased
    (46,997 )     (694,082 )     (9,404 )     (64,651 )     —       —  
   
      (40,293 )     (595,503 )     45,439       338,419       —       —  
NET INCREASE (DECREASE)
     (6,062,105 )   $ (88,462,895 )     149,744,577     $ 1,027,082,255       1,249,621     $ 12,542,585  

(a)  Commencement of operations was August 29, 2003.

 
56

 

 
GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS 

 

9. OTHER MATTERS

     As of October 31, 2004, the Goldman Sachs Growth and Income Strategy Portfolio was the beneficial owner of approximately 9% of the Global Income Fund.

     As of October 31, 2004, the Goldman Sachs Growth and Income Strategy Portfolio and the Goldman Sachs Growth Strategy Portfolio were beneficial owners of approximately 36% and 29% of the Emerging Markets Debt Fund, respectively.

     For the year ended October 31, 2004, Emerging Markets Debt incurred net realized losses of approximately $3,435 resulting from an investment guideline violation. The Fund’s adviser reimbursed the Fund for such losses.

Legal Proceedings — Purported class and derivative action lawsuits were filed in April and May 2004 in the United States District Court for the Southern District of New York against GSAM and certain related parties, including certain Goldman Sachs Funds and the Trustees and Officers of the Trust. In June 2004, these lawsuits were consolidated into one action and in November 2004 a consolidated and amended complaint was filed against GSAM, Goldman Sachs and certain related parties including certain Goldman Sachs Funds and the Trustees and Officers of the Trust. The amended complaint alleges violations of the Act, the Investment Advisers Act of 1940 and New York General Business Law. The consolidated and amended complaint also asserts claims involving common law breach of fiduciary duty, aiding and abetting breach of fiduciary duty and unjust enrichment. The consolidated and amended complaint alleges, among other things, that between April 2, 1999 and January 9, 2004 (the “Class Period”), GSAM and other defendants made improper and excessive brokerage commission and other payments to brokers that sold shares of the Goldman Sachs Funds; and omitted statements of fact in registration statements and reports filed pursuant to the Act which were necessary to prevent such registration statements and reports from being materially false and misleading. The consolidated and amended complaint further alleges that the Trust’s Officers and Trustees breached their fiduciary duties by, among other things, permitting the payments to occur. The consolidated and amended complaint also alleges that GSAM used 12b-1 fees for improper purposes and made improper use of soft dollars. Based on currently available information, GSAM believes that the likelihood that the purported class action lawsuits will have a material adverse financial impact on the Funds is remote, and the pending actions are not likely to materially affect its ability to provide investment management services to its clients, including the Goldman Sachs Funds.

10. SUBSEQUENT EVENT

Redemption Fee — Effective November 15, 2004, the Class B and Class C Shares of the Global Income and High Yield Funds will charge a 2% redemption fee on the redemption of shares (including by exchange) held for 30 calendar days or less.

Goldman Sachs Trust — Special Focus Fixed Income Funds Tax Information (Unaudited)  

       For the year ended October 31, 2004, 0.64% of the dividends paid from net investment company taxable income by the High Yield Fund qualify for the dividends received deduction available to corporations.  

       For the year ended October 31, 2004, 0.73% of the dividends paid from net investment company taxable income by the High Yield Fund qualify for the reduced tax rate under the Jobs and Growth Tax Relief and Reconciliation Act of 2003.

 
57

 

 
 GOLDMAN SACHS GLOBAL INCOME FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Year
                                                 
Income (loss) from
investment operations
Distributions to
Net asset shareholders
value, Net Net realized Total from from net
beginning investment and unrealized investment investment
Year - Share Class of year income(b) gain (loss) operations income
 
    FOR THE YEARS ENDED OCTOBER 31,
    2004 - A   $ 14.39     $ 0.36     $ 0.19     $ 0.55     $ (1.29 )    
    2004 - B     14.34       0.28       0.19       0.47       (1.20 )    
    2004 - C     14.32       0.28       0.18       0.46       (1.20 )    
    2004 - Institutional     14.37       0.43       0.20       0.63       (1.36 )    
    2004 - Service     14.36       0.37       0.19       0.56       (1.29 )    
   
    2003 - A     14.34       0.46       0.32       0.78       (0.73 )    
    2003 - B     14.30       0.39       0.30       0.69       (0.65 )    
    2003 - C     14.27       0.38       0.32       0.70       (0.65 )    
    2003 - Institutional     14.33       0.56       0.30       0.86       (0.82 )    
    2003 - Service     14.31       0.49       0.31       0.80       (0.75 )    
   
    2002 - A     14.72       0.50 (c)     (0.35 )(c)     0.15       (0.53 )    
    2002 - B     14.68       0.41 (c)     (0.33 )(c)     0.08       (0.46 )    
    2002 - C     14.65       0.41 (c)     (0.33 )(c)     0.08       (0.46 )    
    2002 - Institutional     14.70       0.58 (c)     (0.33 )(c)     0.25       (0.62 )    
    2002 - Service     14.69       0.50 (c)     (0.33 )(c)     0.17       (0.55 )    
   
    2001 - A     14.68       0.55       0.85       1.40       (1.36 )    
    2001 - B     14.65       0.48       0.84       1.32       (1.29 )    
    2001 - C     14.63       0.47       0.84       1.31       (1.29 )    
    2001 - Institutional     14.67       0.65       0.84       1.49       (1.46 )    
    2001 - Service     14.66       0.57       0.84       1.41       (1.38 )    
   
    2000 - A     14.49       0.59       0.20       0.79       (0.60 )    
    2000 - B     14.45       0.51       0.22       0.73       (0.53 )    
    2000 - C     14.43       0.51       0.22       0.73       (0.53 )    
    2000 - Institutional     14.48       0.68       0.21       0.89       (0.70 )    
    2000 - Service     14.47       0.61       0.20       0.81       (0.62 )    
   

(a)  Assumes investment at the net asset value at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges. Total return would be reduced if a sales or redemption charge were taken into account. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
(b)  Calculated based on the average shares outstanding methodology.
(c)  As required, effective November 1, 2001, the Fund has adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing all premiums and discounts on debt securities. The effect of this change for the year ended October 31, 2002 was to decrease net investment income per share by $0.06, increase net realized and unrealized gains and losses per share by $0.06, and decrease the ratio of net investment income to average net assets with and without expense reductions by 0.43%. Per share ratios and supplemental data for periods prior to November 1, 2001 have not been restated to reflect this change in presentation.

 
The accompanying notes are an integral part of these financial statements.

58

 

 
GOLDMAN SACHS GLOBAL INCOME FUND 

 

                                                                     
Ratios assuming no
expense reductions
Ratio of Ratio of
Net assets, Ratio of net investment Ratio of total net investment
Net asset end of net expenses income expenses income Portfolio
value, end Total year to average to average to average to average turnover
of year return(a) (in 000s) net assets net assets net assets net assets rate
 
     
    $ 13.65       4.01 %   $ 168,340       1.25 %     2.60 %     1.67 %     2.18 %     109 %    
      13.61       3.47       31,252       1.84       2.00       2.26       1.58       109      
      13.58       3.40       8,463       1.84       2.01       2.26       1.59       109      
      13.64       4.66       117,471       0.69       3.12       1.11       2.70       109      
      13.63       4.13       470       1.19       2.65       1.61       2.23       109      
      14.39       5.45       224,553       1.35       3.15       1.74       2.76       106      
      14.34       4.87       37,118       1.85       2.64       2.24       2.25       106      
      14.32       4.96       11,238       1.85       2.64       2.24       2.25       106      
      14.37       6.07       90,368       0.70       3.82       1.09       3.43       106      
      14.36       5.61       609       1.20       3.37       1.59       2.98       106      
      14.34       1.08       255,821       1.34       3.36 (c)     1.72       2.98 (c)     146      
      14.30       0.59       37,986       1.84       2.88 (c)     2.22       2.50 (c)     146      
      14.27       0.59       11,533       1.84       2.88 (c)     2.22       2.50 (c)     146      
      14.33       1.82       143,127       0.69       4.00 (c)     1.07       3.62 (c)     146      
      14.31       1.24       1,184       1.19       3.49 (c)     1.57       3.11 (c)     146      
      14.72       10.08       286,718       1.34       3.80       1.70       3.44       222      
      14.68       9.50       31,969       1.84       3.28       2.20       2.92       222      
      14.65       9.44       8,679       1.84       3.28       2.20       2.92       222      
      14.70       10.73       181,869       0.69       4.47       1.05       4.11       222      
      14.69       10.18       1,394       1.19       3.96       1.55       3.60       222      
      14.68       5.58       294,738       1.34       4.03       1.70       3.67       185      
      14.65       5.14       22,008       1.84       3.53       2.20       3.17       185      
      14.63       5.13       5,954       1.84       3.54       2.20       3.18       185      
      14.67       6.27       287,145       0.69       4.69       1.05       4.33       185      
      14.66       5.76       1,934       1.19       4.17       1.55       3.81       185      
 
 
59

 

 
 GOLDMAN SACHS HIGH YIELD FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Year
                                                                 
Income (loss) from
investment operations
Distributions to
Net asset shareholders
value, Net Net realized Total from from net Net asset
beginning investment and unrealized investment investment value, end Total
Year - Share Class of year income(b) gain (loss) operations income of year return(a)
 
    FOR THE YEARS ENDED OCTOBER 31,
    2004 - A   $ 7.79     $ 0.65     $ 0.32     $ 0.97     $ (0.68 )   $ 8.08       12.94 %    
    2004 - B     7.80       0.60       0.31       0.91       (0.62 )     8.09       12.09      
    2004 - C     7.79       0.60       0.31       0.91       (0.62 )     8.08       12.10      
    2004 - Institutional     7.81       0.69       0.30       0.99       (0.71 )     8.09       13.23      
    2004 - Service     7.80       0.65       0.31       0.96       (0.67 )     8.09       12.81      
   
    2003 - A     6.38       0.65       1.40       2.05       (0.64 )     7.79       33.34      
    2003 - B     6.39       0.60       1.39       1.99       (0.58 )     7.80       32.31      
    2003 - C     6.38       0.59       1.40       1.99       (0.58 )     7.79       32.36      
    2003 - Institutional     6.39       0.68       1.41       2.09       (0.67 )     7.81       33.98      
    2003 - Service     6.39       0.64       1.40       2.04       (0.63 )     7.80       33.16      
   
    2002 - A     7.24       0.68       (0.86 )     (0.18 )     (0.68 )     6.38       (2.98 )    
    2002 - B     7.24       0.63       (0.85 )     (0.22 )     (0.63 )     6.39       (3.56 )    
    2002 - C     7.24       0.62       (0.85 )     (0.23 )     (0.63 )     6.38       (3.57 )    
    2002 - Institutional     7.25       0.70       (0.85 )     (0.15 )     (0.71 )     6.39       (2.59 )    
    2002 - Service     7.24       0.67       (0.84 )     (0.17 )     (0.68 )     6.39       (2.93 )    
   
    2001 - A     8.18       0.83       (0.93 )     (0.10 )     (0.84 )     7.24       (1.54 )    
    2001 - B     8.18       0.77       (0.93 )     (0.16 )     (0.78 )     7.24       (2.28 )    
    2001 - C     8.17       0.77       (0.92 )     (0.15 )     (0.78 )     7.24       (2.28 )    
    2001 - Institutional     8.19       0.86       (0.93 )     (0.07 )     (0.87 )     7.25       (1.14 )    
    2001 - Service     8.19       0.82       (0.94 )     (0.12 )     (0.83 )     7.24       (1.65 )    
   
    2000 - A     9.07       0.84       (0.78 )     0.06       (0.95 )     8.18       0.38      
    2000 - B     9.08       0.78       (0.80 )     (0.02 )     (0.88 )     8.18       (0.48 )    
    2000 - C     9.07       0.78       (0.80 )     (0.02 )     (0.88 )     8.17       (0.48 )    
    2000 - Institutional     9.08       0.88       (0.79 )     0.09       (0.98 )     8.19       0.77      
    2000 - Service     9.08       0.83       (0.78 )     0.05       (0.94 )     8.19       0.15      
   

(a)  Assumes investment at the net asset value at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges. Total return would be reduced if a sales or redemption charge were taken into account. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
(b)  Calculated based on the average shares outstanding methodology.

 
The accompanying notes are an integral part of these financial statements.

60

 

 
GOLDMAN SACHS HIGH YIELD FUND 

                                                     
Ratios assuming no
expense reductions
Ratio of Ratio of
Net assets, Ratio of net investment Ratio of total net investment
end of net expenses income expenses income Portfolio
year to average to average to average to average turnover
(in 000s) net assets net assets net assets net assets rate
     
    $ 1,109,364       1.16 %     8.31 %     1.18 %     8.29 %     47 %    
      105,106       1.91       7.54       1.93       7.52       47      
      56,174       1.91       7.53       1.93       7.51       47      
      832,175       0.76       8.73       0.78       8.71       47      
      1,160       1.26       8.18       1.28       8.16       47      
      1,821,032       1.17       8.97       1.19       8.95       54      
      97,894       1.92       8.25       1.94       8.23       54      
      46,812       1.92       8.21       1.94       8.19       54      
      1,119,417       0.77       9.42       0.79       9.40       54      
      958       1.27       8.86       1.29       8.84       54      
      770,011       1.16       9.54       1.19       9.51       36      
      54,065       1.91       8.83       1.94       8.80       36      
      20,107       1.91       8.81       1.94       8.78       36      
      726,140       0.76       9.95       0.79       9.92       36      
      494       1.26       9.50       1.29       9.47       36      
      493,739       1.16       10.55       1.22       10.49       57      
      45,514       1.91       9.83       1.97       9.77       57      
      12,494       1.91       9.82       1.97       9.76       57      
      460,253       0.76       10.96       0.82       10.90       57      
      384       1.26       10.49       1.32       10.43       57      
      409,224       1.16       9.54       1.21       9.49       55      
      37,085       1.91       8.79       1.96       8.74       55      
      8,933       1.91       8.78       1.96       8.73       55      
      420,284       0.76       9.99       0.81       9.94       55      
      396       1.26       9.39       1.31       9.34       55      
 
 
61

 

 
 GOLDMAN SACHS EMERGING MARKETS DEBT FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period
                                                                 
Income from
investment operations Distributions to shareholders
Net asset
value, Net Net realized Total from From net From net
beginning investment and unrealized investment investment realized Total
Period - Share Class of period income(b) gain operations income gains distributions
 
    FOR THE YEAR ENDED OCTOBER 31,
    2004 - A   $ 10.22     $ 0.59     $ 0.97     $ 1.56     $ (0.57 )   $ (0.03 )   $ (0.60 )    
    2004 - Institutional     10.23       0.62       0.98       1.60       (0.61 )     (0.03 )     (0.64 )    
    FOR THE PERIOD ENDED OCTOBER 31,
    2003 - A (commenced August 29, 2003)     10.00       0.08       0.26       0.34       (0.12 )     —       (0.12 )    
    2003 - Institutional (commenced August 29, 2003)     10.00       0.11       0.24       0.35       (0.12 )     —       (0.12 )    
   

(a)  Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total return would be reduced if a sales or redemption charge were taken into account. Total returns for periods less than one full year are not annualized. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
(b)  Calculated based on the average shares outstanding methodology.
(c)  Annualized.

 
The accompanying notes are an integral part of these financial statements.

62

 

 
GOLDMAN SACHS EMERGING MARKETS DEBT FUND 

 

                                                                     
Ratios assuming no
expense reductions
Ratio of Ratio of
Net assets, Ratio of net investment Ratio of net investment
Net asset end of net expenses income total expenses income Portfolio
value, end Total period to average to average to average to average turnover
of period return(a) (in 000s) net assets net assets net assets net assets rate
 
     
    $ 11.18       15.78 %   $ 5,411       1.28 %     5.43 %     3.09 %     3.62 %     273 %    
      11.19       16.22       20,387       0.88       5.90       2.57       4.21       273      
     
      10.22       3.36       1,088       1.28 (c)     5.35 (c)     5.53 (c)     1.10 (c)     49      
      10.23       3.52       11,688       0.88 (c)     5.96 (c)     4.88 (c)     1.96 (c)     49      
 
 
63

 

Report of Independent Registered

Public Accounting Firm

To the Shareholders and Board of Trustees
Goldman Sachs Trust

We have audited the accompanying statements of assets and liabilities, including the statements of investments, of Goldman Sachs Global Income Fund, Goldman Sachs High Yield Fund and Goldman Sachs Emerging Markets Debt Fund (three of the funds comprising the Goldman Sachs Trust) (the “Funds”) as of October 31, 2004, the related statements of operations for the year then ended, the statements of changes in net assets for each of the two periods in the period then ended and the financial highlights for each of the periods indicated therein. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights. Our procedures included confirmation of securities owned as of October 31, 2004 by correspondence with the custodian and others. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Goldman Sachs Global Income Fund, Goldman Sachs High Yield Fund and Goldman Sachs Emerging Markets Debt Fund at October 31, 2004, the results of their operations, the changes in their net assets and the financial highlights for the periods indicated above, in conformity with U.S. generally accepted accounting principles.

  Ernst & Young LLP

New York, New York

December 17, 2004
 
64

 

Fund Expenses (Unaudited) — Six Month Period Ended October 31, 2004

          As a shareholder of Class A, Class B, Class C, Institutional or Service Shares of the Funds you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments (with respect to Class A Shares), contingent deferred sales charges (loads) on redemptions (with respect to Class B and Class C Shares), and redemption fees (with respect to Class A, Class B, Class C, Institutional and Service Shares, if any); and (2) ongoing costs, including management fees; distribution and service (12b-1) fees (with respect to Class A, Class B and Class C Shares); and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in Class A, Class B, Class C, Institutional and Service Shares of the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

          The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from May 1, 2004 through October 31, 2004.

Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account for this period.

Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

          Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
                                                 
Global Income Fund High Yield Fund
Expenses Paid Expenses
Beginning Ending for the Beginning Ending Paid for the
Account Value Account Value 6 months ended Account Value Account Value 6 months ended
Share Class 5/1/04 10/31/04 10/31/04* 5/1/04 10/31/04 10/31/04*
Class A
                                                
Actual
  $ 1,000     $ 1,021.60     $ 5.74     $ 1,000     $ 1,065.00     $ 6.03  
Hypothetical 5% return
    1,000       1,019.45 +     5.74       1,000       1,019.30 +     5.90  
Class B
                                                
Actual
    1,000       1,018.80       9.32       1,000       1,061.00       9.90  
Hypothetical 5% return
    1,000       1,015.91 +     9.30       1,000       1,015.53 +     9.69  
Class C
                                                
Actual
    1,000       1,018.00       9.31       1,000       1,061.00       9.90  
Hypothetical 5% return
    1,000       1,015.91 +     9.30       1,000       1,015.53 +     9.68  
Institutional
                                                
Actual
    1,000       1,024.70       3.49       1,000       1,065.70       3.96  
Hypothetical 5% return
    1,000       1,021.69 +     3.49       1,000       1,021.30       3.88  
Service
                                                
Actual
    1,000       1,022.00       6.03       1,000       1,064.40       6.56  
Hypothetical 5% return
    1,000       1,019.17 +     6.02       1,000       1,018.79 +     6.41  

[Additional columns below]

[Continued from above table, first column(s) repeated]
                         
Emerging Markets Debt Fund
Expenses
Beginning Ending Paid for the
Account Value Account Value 6 months ended
Share Class 5/1/04 10/31/04 10/31/04*
Class A
                        
Actual
  $ 1,000     $ 1,123.10     $ 6.81  
Hypothetical 5% return
    1,000       1,018.72 +     6.48  
 
Class B
                        
Actual
    N/A       N/A       N/A  
Hypothetical 5% return
    N/A       N/A       N/A  
 
Class C
                        
Actual
    N/A       N/A       N/A  
Hypothetical 5% return
    N/A       N/A       N/A  
 
Institutional
                        
Actual
    1,000       1,125.20       4.70  
Hypothetical 5% return
    1,000       1,020.71 +     4.47  
 
Service
                        
Actual
    N/A       N/A       N/A  
Hypothetical 5% return
    N/A       N/A       N/A  
 

*  Expenses for each share class are calculated using the Fund’s expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended 10/31/04. Expenses are calculated by multiplying the expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. Expense ratios for the most recent fiscal half year may differ from expense ratios based on one-year data in the financial highlights. The expense ratios for the period were as follows:

                                         
Fund Class A Class B Class C Institutional Service
Global Income Fund
    1.13 %     1.84 %     1.84 %     0.69 %     1.19 %
High Yield Fund
    1.16       1.91       1.91       0.76       1.26  
Emerging Markets Debt Fund
    1.28       N/A       N/A       0.88       N/A  

+  Hypothetical expenses are based on the Fund’s actual expense ratios and an assumed rate of return of 5% per year before expenses.

 
65

 

Trustees and Officers (Unaudited)

Independent Trustees
                     
Number of
Term of Portfolios in
Position(s) Office and Fund Complex Other
Name, Held with Length of Principal Occupation(s) Overseen by Directorships
Address and Age1 the Trust2 Time Served3 During Past 5 Years Trustee4 Held by Trustee5
Ashok N. Bakhru
Age: 62		   Chairman & Trustee   Since 1991   President, ABN Associates (July 1994-March 1996 and November 1998-Present); Executive Vice President—Finance and Administration and Chief Financial Officer, Coty Inc. (manufacturer of fragrances and cosmetics) (April 1996-November 1998); Director of Arkwright Mutual Insurance Company (1984-1999); Trustee of International House of Philadelphia (program center and residential community for students and professional trainees from the United States and foreign countries) (1989-Present); Member of Cornell University Council (1992-Present); Trustee of the Walnut Street Theater (1992-Present); Trustee, Scholarship America (1998-Present); Director, Private Equity Investors—III and IV (November 1998-Present), and Equity-Limited Investors II (April 2002-Present); and Chairman, Lenders Service Inc. (provider of mortgage lending services) (2000-2003).

Chairman of the Board and Trustee—Goldman Sachs Mutual Fund Complex (registered investment companies).		   63   None
John P. Coblentz, Jr.
Age: 63		   Trustee   Since 2003   Partner, Deloitte & Touche LLP (June 1975-May 2003).

Trustee—Goldman Sachs Mutual Fund Complex (registered investment companies).		   63   None
Patrick T. Harker
Age: 46		   Trustee   Since 2000   Dean and Reliance Professor of Operations and Information Management, The Wharton School, University of Pennsylvania (February 2000-Present); Interim and Deputy Dean, The Wharton School, University of Pennsylvania (July 1999-Present); and Professor and Chairman of Department of Operations and Information Management, The Wharton School, University of Pennsylvania (July 1997-August 2000).

Trustee—Goldman Sachs Mutual Fund Complex (registered investment companies).		   63   None
Mary P. McPherson
Age: 69		   Trustee   Since 1997   Vice President, The Andrew W. Mellon Foundation (provider of grants for conservation, environmental and educational purposes) (October 1997-Present); Director, Smith College (1998-Present); Director, Josiah Macy, Jr. Foundation (health educational programs) (1977-Present); Director, Philadelphia Contributionship (insurance) (1985-Present); Director Emeritus, Amherst College (1986-1998); Director, The Spencer Foundation (educational research) (1993-February 2003); member of PNC Advisory Board (banking) (1993-1998); and Director, American School of Classical Studies in Athens (1997-Present).

Trustee—Goldman Sachs Mutual Fund Complex (registered investment companies).		   63   None
Wilma J. Smelcer
Age: 55		   Trustee   Since 2001   Chairman, Bank of America, Illinois (banking) (1998-January 2001); and Governor, Board of Governors, Chicago Stock Exchange (national securities exchange) (April 2001-April 2004).

Trustee—Goldman Sachs Mutual Fund Complex (registered investment companies).		   63   Lawson Products Inc. (distributor of industrial products).
Richard P. Strubel
Age: 65		   Trustee   Since 1987   Vice Chairman and Director, Unext, Inc. (provider of educational services via the internet) (2003-Present); President, COO and Director, Unext, Inc. (1999-2003); Director, Cantilever Technologies, Inc. (a private software company) (1999-Present); Trustee, The University of Chicago (1987-Present); and Managing Director, Tandem Partners, Inc. (management services firm) (1990-1999).

Trustee—Goldman Sachs Mutual Fund Complex (registered investment companies).		   63   Gildan Activewear Inc. (an activewear clothing marketing and manufacturing company); Unext, Inc. (provider of educational services via the internet); Northern Mutual Fund Complex (53 Portfolios).
 
66

 

 

Interested Trustees

                     
Number of
Term of Portfolios in
Position(s) Office and Fund Complex Other
Name, Held with Length of Principal Occupation(s) Overseen by Directorships
Address and Age1 the Trust2 Time Served3 During Past 5 Years Trustee4 Held by Trustee5
*Alan A. Shuch
Age: 55		   Trustee   Since 1990   Advisory Director—GSAM (May 1999-Present); Consultant to GSAM (December 1994-May 1999); and Limited Partner, Goldman Sachs (December 1994-May 1999).

Trustee—Goldman Sachs Mutual Fund Complex (registered investment companies).		   63   None
*Kaysie P. Uniacke
Age: 43		   Trustee
&
President		   Since 2001

Since 2002		   Managing Director, GSAM (1997-Present).

Trustee—Goldman Sachs Mutual Fund Complex (registered investment companies).

President—Goldman Sachs Mutual Fund Complex (2002- Present) (registered investment companies).

Assistant Secretary—Goldman Sachs Mutual Fund Complex (1997-2002) (registered investment companies).		   63   None
 
*
These persons are considered to be “Interested Trustees” because they hold positions with Goldman Sachs and own securities issued by The Goldman Sachs Group, Inc. Each Interested Trustee holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor.
1
Each Trustee may be contacted by writing to the Trustee, c/o Goldman Sachs, One New York Plaza, 37th Floor, New York, New York, 10004, Attn: Howard B. Surloff.
2
The Trust is a successor to a Massachusetts business trust that was combined with the Trust on April 30, 1997.
3
Each Trustee holds office for an indefinite term until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board of Trustees or shareholders, in accordance with the Trust’s Declaration of Trust; (c) the date the Trustee attains the age of 72 years (in accordance with the current resolutions of the Board of Trustees, which may be changed by the Trustees without shareholder vote); or (d) the termination of the Trust.
4
The Goldman Sachs Mutual Fund Complex consists of the Trust and Goldman Sachs Variable Insurance Trust. As of October 31, 2004, the Trust consisted of 57 portfolios, including the Funds described in this Annual Report, and Goldman Sachs Variable Insurance Trust consisted of 6 portfolios.
5
This column includes only directorships of companies required to report to the SEC under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act.

Additional information about the Trustees is available in the Funds’ Statement of Additional Information which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-292-4726

 
67

 

Trustees and Officers (Unaudited) (continued)

Officers of the Trust*

             
Term of
Office and
Position(s) Held Length of
Name, Address And Age With the Trust Time Served1 Principal Occupation(s) During Past 5 Years
Kaysie P. Uniacke
32 Old Slip
New York, NY 10005
Age: 43		   President &
Trustee		   Since 2002

Since 2001		   Managing Director, GSAM (1997-Present).

Trustee—Goldman Sachs Mutual Fund Complex (registered investment companies).

President—Goldman Sachs Mutual Fund Complex (registered investment companies).

Assistant Secretary—Goldman Sachs Mutual Fund Complex (1997-2002) (registered investment companies).
James A. Fitzpatrick
4900 Sears Tower
Chicago, IL 60606
Age: 44		   Vice President   Since 1997   Managing Director, Goldman Sachs (October 1999-Present); and Vice President of GSAM (April 1997-December 1999).

Vice President—Goldman Sachs Mutual Fund Complex (registered investment companies).
James A. McNamara
32 Old Slip
New York, NY 10005
Age: 42		   Vice President   Since 2001   Managing Director, Goldman Sachs (December 1998-Present); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).

Vice President—Goldman Sachs Mutual Fund Complex (registered investment companies).

Trustee—Goldman Sachs Mutual Fund Complex (registered investment companies) (December 2002-May 2004).
John M. Perlowski
32 Old Slip
New York, NY 10005
Age: 40		   Treasurer   Since 1997   Managing Director, Goldman Sachs (November 2003-Present) and Vice President, Goldman Sachs (July 1995-November 2003).

Treasurer—Goldman Sachs Mutual Fund Complex (registered investment companies).
Howard B. Surloff
One New York Plaza
37th Floor
New York, NY 10004
Age: 39		   Secretary   Since 2001   Managing Director, Goldman Sachs (November 2002-Present); Associate General Counsel, Goldman Sachs and General Counsel to the U.S. Funds Group (December 1997-Present).

Secretary—Goldman Sachs Mutual Fund Complex (registered investment companies) (2001-Present) and Assistant Secretary prior thereto.
 
1
Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor.
*
Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Funds’ Statement of Additional Information which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-292-4726.
 
68

 

()
F U N D S P R O F I L EGoldman Sachs FundsGoldman Sachs is a premier financial services firm, known since 1869 for creating thoughtful and customized investment solutions in complex global markets.Today, Goldman Sachs Asset Management, L.P. and other units of the Investment Management Division of Goldman Sachs serve a diverse set of clients worldwide, including private institutions, public entities and individuals. With portfolio management teams located around the world — and $410.1 billion in assets under management as of THE GOLDMANSeptember 30, 2004 — our investment professionals bring firsthand knowledge of local SACHS ADVANTAGEmarkets to every investment decision, making us one of the few truly global asset managers.Our goal is to deliver:G O L D M A N S A C H S F U N D SStrong, ConsistentIn INTERNATIONALInvestment Results portfolio,EQUITY50 Global Resources and Global Researchto borders,Team Approach and Disciplined ProcessesDOMESTIC EQUITYInnovative, Value-Added Investment ProductsALLOCATION SPECIALTYFIXED Thoughtful SolutionsINCOMEASSET Risk ManagementMONEY Outstanding MARKETAsset Allocation FundsClient ServiceRisk/ReturnBalanced FundDomestic Equity FundsLowerAsset Allocation Portfolios Small Cap Value Fund Dedicated Service CORESM Small Cap Equity FundFixed Income Funds Teams Mid Cap Value FundEmerging Markets Debt Fund Excellence andConcentrated Growth FundHigh Yield Fund IntegrityInternational Equity FundsGrowth Opportunities FundHigh Yield Municipal Fund Asia Growth Fund Research Select FundSMGlobal Income Fund Emerging Markets Equity Fund Strategic Growth FundInvestment Grade Credit Fund International Growth Capital Growth FundCore Fixed Income Fund Opportunities Fund Large Cap Value FundU.S. Mortgages Fund Japanese Equity Fund Growth and Income FundMunicipal Income Fund European Equity Fund CORESM Large Cap Growth FundGovernment Income Fund International Equity Fund CORESM Large Cap Value FundShort Duration Tax-Free Fund CORESM International Equity Fund CORESM U.S. Equity FundShort Duration Government Fund Ultra-Short Duration GovernmentSpecialty Fundsand Tollkeeper FundSMEnhanced Income Fund CORESM Tax-Managed Equity Fund Real Estate Securities FundMoney Market Funds11An investment in a money market fund is neither insured nor guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Fund.The Goldman Sachs Research Select FundSM,Tollkeeper FundSM and CORESM are service marks of Goldman, Sachs & Co.

 

 

()
GOLDMAN SACHS ASSET MANAGEMENT, L.P. 32 OLD SLIP, 32ND FLOOR, NEW YORK, NEW YORK 10005 T R U S T E E SO F F I C E R SAshok N. Bakhru, ChairmanKaysie P. Uniacke, PresidentJohn P. Coblentz, Jr.James A. Fitzpatrick, Vice President Patrick T. HarkerJames A. McNamara, Vice President Mary Patterson McPhersonJohn M. Perlowski, Treasurer Alan A. ShuchHoward B. Surloff, Secretary Wilma J. Smelcer Richard P. Strubel Kaysie P. UniackG O L D M A N , S AC H S & CO.G O L D M A N S AC H S I N T E R N AT I O N A LDistributor and Transfer AgentChristchurch Court 10-15 Newgate StreetG O L D M A N S AC H S A S S E T M A N AG E M E N T, L . P.London, England EC1 A7HD Investment Adviser Visit our Web site at www.gs.com/funds to obtain the most recent month-end returns. The reports concerning the Fund included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Fund in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Fund, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Fund. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and information regarding how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (i) without charge, upon request by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders); and (ii) on the Securities and Exchange Commission Web site at http://www.sec.gov.The Funds file their complete schedule of portfolio holdings with the Securities and Exchange Commission (the “Commission”) for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Form N-Q are available on the Commission’s website at http://www.sec.gov. The Funds’ Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. and that information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. Form N-Q may be obtained upon request and without charge by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders).The Goldman Sachs High Yield Fund invests primarily in high yield, lower rated securities which involve greater price volatility and present greater risks than higher rated fixed income securities. At times, the Fund may be unable to sell certain of its portfolio securities without a substantial drop in price, if at all.The Goldman Sachs Global Income, Emerging Markets Debt and High Yield Funds’ foreign investments may be more volatile than an investment in U.S. securities and are subject to the risks of currency fluctuations and political developments.The fixed income securities of emerging countries are less liquid and are subject to greater price volatility. The securities markets of emerging countries have less governmental regulation and are subject to less extensive accounting and financial reporting requirements than the markets of more developed countries.Goldman, Sachs & Co. is the distributor of the Goldman Sachs Funds. This material is not authorized for distribution to prospective investors unless preceded or ac companied by a current Prospectus. Please consider a Fund’s objectives, risks, and charges and expenses, and read the Prospectus carefully before investing. The Prospectus contains this and other information about the Funds. Copyright 2004 Goldman, Sachs & Co. All rights reserved. Date of first use: December 30, 2004 / 04-1504SFFIAR / 43.1K / 12-04

 

 

     
ITEM 2.   CODE OF ETHICS.
         
    (a)   As of the end of the period covered by this report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party (the “Code of Ethics”).
     
    (b)   During the period covered by this report, no amendments were made to the provisions of the Code of Ethics.
     
    (c)   During the period covered by this report, the registrant did not grant any waivers, including an implicit waiver, from any provision of the Code of Ethics.
     
ITEM 3.   AUDIT COMMITTEE FINANCIAL EXPERT.
     
    The registrant’s board of trustees has determined that the registrant has at least one “audit committee financial expert” (as defined in Item 3 of Form N-CSR) serving on its audit committee. John P. Coblentz, Jr. is the “audit committee financial expert” and is “independent” (as each term is defined in Item 3 of Form N-CSR).
     
ITEM 4.   PRINCIPAL ACCOUNTANT FEES AND SERVICES.
     

     Item 4 – Principal Accountant Fees and Services for the Goldman Sachs Trust: The accountant fees below reflect the aggregate fees billed to all of the Funds of the Goldman Sachs Trust and includes the Goldman Sachs Funds to which this certified shareholder report relates.

Table 1 – Items 4(a) – 4(d)

                     
    2004
   2003
   Description of Services Rendered
Audit Fees:
                    
•PricewaterhouseCoopers LLP
   $ 701,500     $ 668,000     Financial statement audits
(“PwC”)
                    
•Ernst & Young LLP (“E&Y”)
   $ 447,000     $ 279,000     Financial statement audits
Audit-Related Fees:
                    
•PwC
   $ 198,800     $ 138,500     Other attest services
•E&Y
   $ 0     $ 0      
Tax Fees:
                    
•PwC
   $ 175,900     $ 175,900     Tax compliance services provided
 
                   in connection with the
 
                   preparation and review of the
 
                   registrant’s tax returns
•E&Y
   $ 84,850     $ 65,400     Tax compliance services provided
 
                   in connection with the
 
                   preparation and review of the
 
                   registrant's tax returns
All Other Fees:
                    
•E&Y
   $ 10,000     $ 0     Research and discussion on
 
                   amortization methodologies

Items 4(b)(c) & (d) Table 2. Non-Audit Services to the Goldman Sachs Trust’s service affiliates * that were pre-approved by the Goldman Sachs Trust’s Audit Committee pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X.

                     
    2004
   2003
   Description of Services Rendered
Audit-Related Fees:
                    
•PwC
   $ 683,000     $ 524,000     Internal control review
 
                   performed in accordance with
 
                   Statement on Auditing Standards
 
                   No. 70.
•E&Y
   $ 0     $ 0      
Tax Fees:
                    
•PwC
   $ 0     $ 0      
•E&Y
   $ 0     $ 0      
All Other Fees:
                    
•PwC
   $ 16,000     $ 0     Review of form N-14 for
 
                   purposes of consent issuance
•E&Y
   $ 18,000     $ 6,000     Review of fund merger
 
                   documents; represents access to
 
                   an on-line accounting reference
 
                   tool for certain employees of
 
                   the Trust’s distributor.

*   These include the adviser (excluding sub-advisers) and any entity controlling, controlled by or under common control with the adviser that provides ongoing services to the registrant (hereinafter referred to as “service affiliates”).

Item 4(e)(1) – Audit Committee Pre-Approval Policies and Procedures

Pre-Approval of Audit and Non-Audit Services Provided to the Funds of the Goldman Sachs Trust. The Audit and Non-Audit Services Pre-Approval Policy (the “Policy”) adopted by the Audit Committee of the Goldman Sachs Trust (“GST”) sets forth the procedures and the conditions pursuant to which services performed by an independent auditor for GST may be pre-approved. Services may be pre-approved specifically by the Audit Committee as a whole or, in certain circumstances, by the Audit Committee Chairman or the person designated as the Audit Committee Financial Expert. In addition, subject to specified cost limitations, certain services may be pre-approved under the provisions of the Policy. The Policy provides that the Audit Committee will consider whether the services provided by an independent auditor are consistent with the Securities and Exchange Commission’s rules on auditor independence. The Policy provides for periodic review and pre-approval by the Audit Committee of the services that may be provided by the independent auditor.

De Minimis Waiver. The pre-approval requirements of the Policy may be waived with respect to the provision of non-audit services that are permissible for an independent auditor to perform, provided (1) the aggregate amount of all such services provided constitutes no more than five percent of the total amount of revenues subject to pre-approval that was paid to the independent auditors during the fiscal year in which the services are provided; (2) such services were not recognized by GST at the time of the engagement to be non-audit services; and (3) such services are promptly brought to the attention of the Audit Committee and approved prior to the completion of the audit by the Audit Committee or by one or more members of the Audit Committee to whom authority to grant such approvals has been delegated by the Audit Committee, pursuant to the pre-approval provisions of the Policy.

Pre-Approval of Non-Audit Services Provided to GST’s Investment Advisers. The Policy provides that, in addition to requiring pre-approval of audit and non-audit services provided to GST, the Audit Committee will pre-approve those non-audit services provided to GST’s investment advisers (and entities controlling, controlled by or under common control with the investment advisers that provide ongoing services to GST) where the engagement relates directly to the operations or financial reporting of GST.

Item 4(e)(2) – 0% of the audit-related fees, tax fees and other fees listed in Table 1 were approved by GST’s Audit Committee pursuant to the “de minimis” exception of Rule 2-01(c)(7)(i)(C) of Regulation S-X. In addition, 8% of the non-audit services to the Goldman Sachs Trust’s service affiliates listed in Table 2 were approved by the Trust’s audit committee pursuant to the “de minimis” exception of Rule 2-01(c)(7)(i)(C) of Regulation S-X.

Item 4(f) – Not applicable.

Item 4(g) Aggregate Non-Audit Fees Disclosure

The aggregate non-audit fees billed to GST by PwC for the 12 months ended October 31, 2004 and October 31, 2003 were approximately $374,700 and $314,400, respectively. The aggregate non-audit fees billed to GST’s adviser and service affiliates by PwC for non-audit services for the twelve months ended November 28, 2003 and November 29, 2002 were approximately $5.5 million and $8.4 million, respectively. The 2003 amount includes fees for non-audit services required to be pre-approved [see Table 2] and fees for non-audit services that did not require pre-approval since they did not directly relate to GST’s operations or financial reporting.

The aggregate non-audit fees billed to GST by E&Y for the 12 months ended October 31, 2004 and October 31, 2003 were approximately $94,850 and $65,400, respectively. The aggregate non-audit fees billed to GST’s adviser and service affiliates by E&Y for non-audit services for the twelve months ended December 31, 2003 and December 31, 2002 were approximately $30.9 million and $15.4 million, respectively. The 2003 amount includes fees for non-audit services required to be pre-approved [see Table 2] and fees for non-audit services that did not require pre-approval since they did not directly relate to GST’s operations or financial reporting.

Item 4(h) – GST’s Audit Committee has considered whether the provision of non-audit services to GST’s investment adviser and service affiliates that did not require pre-approval pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the auditor’s independence.

     
ITEM 5.   AUDIT COMMITTEE OF LISTED REGISTRANTS.
     
    Not applicable.
     
ITEM 6.   Schedule of Investments is included as part of the Report to Shareholders filed under Item 1.
     
ITEM 7.   DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
     
    Not applicable.
     
ITEM 8.   PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS
     
    Not applicable.

ITEM 9.    SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of trustees.
     
ITEM 10.   CONTROLS AND PROCEDURES.
         
    (a)   The registrant’s principal executive and principal financial officers or persons performing similar functions have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under the Securities Exchange Act of 1934, as amended.
     
    (b)   There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect the registrant’s internal control over financial reporting.
     
ITEM 11.   EXHIBITS.

  (a)(1)   Goldman Sachs Trust’s Code of Ethics for Principal Executive and Senior Financial Officers is incorporated by reference to Exhibit 11(a)(1) of the registrant’s Form N-CSR filed on March 8, 2004 for its Real Estate Securities Fund (Accession Number 0000950123-04-0002984).
 
  (a)(2)   Exhibit 99.CERT Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 filed herewith.
     
  (b)   Exhibit 99.906CERT Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 filed herewith

 

 

SIGNATURES

     Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

     
Goldman Sachs Trust
   
 
    
 
    
/s/ Kaysie Uniacke
    
   
By: Kaysie Uniacke
    
Chief Executive Officer of
    
Goldman Sachs Trust
    
 
    
Date: January 4, 2005
   
 
    
 
    
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
 
    
 
    
/s/ Kaysie Uniacke
   
By: Kaysie Uniacke
    
Chief Executive Officer of
    
Goldman Sachs Trust
    
 
    
Date: January 4, 2005
    
 
    
 
    
/s/ John M. Perlowski
   
By: John M. Perlowski
    
Chief Financial Officer of
    
Goldman Sachs Trust
    
 
    
Date: January 4, 2005